distributionally robust

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

    Chance-Constrained Optimization under Limited Distributional Information: A Review of Reformulations Based on Sampling and Distributional Robustness

  • Simge Küçükyavuz
  • Ruiwei Jiang
    • Categories Stochastic Programming Tags , , ,

    Chance-constrained programming (CCP) is one of the most difficult classes of optimization problems that has attracted the attention of researchers since the 1950s. In this survey, we focus on cases when only a limited information on the distribution is available, such as a sample from the distribution, or the moments of the distribution. We first … Read more