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research article

Ambiguous Joint Chance Constraints under Mean and Dispersion Information

Hanasusanto, Grani Adiwena  
•
Roitch, Vladimir
•
Kuhn, Daniel  
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2017
Operations Research

We 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.

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Type
research article
DOI
10.1287/opre.2016.1583
Web of Science ID

WOS:000404533400012

Author(s)
Hanasusanto, Grani Adiwena  
Roitch, Vladimir
Kuhn, Daniel  
Wiesemann, Wolfram
Date Issued

2017

Publisher

Informs

Published in
Operations Research
Volume

65

Issue

3

Start page

751

End page

767

Subjects

Chance constrained programming

•

Distributionally robust optimization

•

Ambiguity

Note

Available from Optimization Online

URL

URL

http://www.optimization-online.org/DB_HTML/2015/11/5199.html
Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
RAO  
Available on Infoscience
November 13, 2015
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/120576
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