chance constraint

The Terminator: An Integration of Inner and Outer Approximations for Solving Regular and Distributionally Robust Chance Constrained Programs via Variable Fixing

  • Nan Jiang
  • Weijun Xie
    • Categories Stochastic Programming Tags , ,

    We present a novel approach aimed at enhancing the efficacy of solving both regular and distributionally robust chance constrained programs using an empirical reference distribution. In general, these programs can be reformulated as mixed-integer programs (MIPs) by introducing binary variables for each scenario, indicating whether a scenario should be satisfied. While existing methods have predominantly … Read more

    ALSO-X#: Better Convex Approximations for Distributionally Robust Chance Constrained Programs

  • Nan Jiang
  • Weijun Xie
    • Categories Stochastic Programming Tags , , ,

    This paper studies distributionally robust chance constrained programs (DRCCPs), where the uncertain constraints must be satisfied with at least a probability of a prespecified threshold for all probability distributions from the Wasserstein ambiguity set. As DRCCPs are often nonconvex and challenging to solve optimally, researchers have been developing various convex inner approximations. Recently, ALSO-X has … Read more

    Robust Concave Utility Maximization over Chance Constraints

  • Shanshan Wang
  • Sanjay Mehrotra
  • Chun Peng
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , , , ,

    This paper first studies an expected utility problem with chance constraints and incomplete information on a decision maker’s utility function. The model maximizes the worst-case expected utility of random outcome over a set of concave functions within a novel ambiguity set, while the underlying probability distribution is known. To obtain computationally tractable formulations, we employ … Read more