000213604 001__ 213604
000213604 005__ 20190317000327.0
000213604 0247_ $$2doi$$a10.1287/opre.2016.1583
000213604 02470 $$2ISI$$a000404533400012
000213604 037__ $$aARTICLE
000213604 245__ $$aAmbiguous Joint Chance Constraints under Mean and Dispersion Information
000213604 269__ $$a2017
000213604 260__ $$bInforms$$c2017$$aCatonsville
000213604 300__ $$a17
000213604 336__ $$aJournal Articles
000213604 500__ $$aAvailable from Optimization Online
000213604 520__ $$aWe study joint chance constraints where the distribution of the uncertain parameters is only known to belong to an ambiguity set characterized by the mean and support of the uncertainties and by an upper bound on their dispersion. This setting gives rise to pessimistic (optimistic) ambiguous chance constraints, which require the corresponding classical chance constraints to be satisfied for every (for at least one) distribution in the ambiguity set. We demonstrate that the pessimistic joint chance constraints are conic representable and thus computationally tractable if (i) the constraint coefficients of the decisions are deterministic, (ii) the support set of the uncertain parameters is a cone, and (iii) their dispersion function is positively homogeneous. We also show that tractability is lost as soon as either of the conditions (i), (ii) or (iii) is relaxed in the mildest possible way. We further prove that the optimistic joint chance constraints are tractable if and only if (i) holds. To showcase the power of our tractability results, we solve large-scale project management and image reconstruction models to global optimality.
000213604 6531_ $$aChance constrained programming
000213604 6531_ $$aDistributionally robust optimization
000213604 6531_ $$aAmbiguity
000213604 700__ $$0249201$$g258502$$aHanasusanto, Grani Adiwena
000213604 700__ $$aRoitch, Vladimir
000213604 700__ $$0247589$$g239987$$aKuhn, Daniel
000213604 700__ $$aWiesemann, Wolfram
000213604 773__ $$j65$$tOperations Research$$k3$$q751-767
000213604 8564_ $$uhttp://www.optimization-online.org/DB_HTML/2015/11/5199.html$$zURL
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000213604 917Z8 $$x239987
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000213604 937__ $$aEPFL-ARTICLE-213604
000213604 973__ $$rREVIEWED$$sPUBLISHED$$aEPFL
000213604 980__ $$aARTICLE