Technical Note - Data-driven chance constrained programs over Wasserstein balls
File(s)6671-1.pdf (1.09 MB)
Accepted version
Author(s)
Zhi, Chen
Kuhn, Daniel
Wiesemann, Wolfram
Type
Journal Article
Abstract
We provide an exact deterministic reformulation for data-driven, chance-constrained programs over Wasserstein balls. For individual chance constraints as well as joint chance constraints with right-hand-side uncertainty, our reformulation amounts to a mixed-integer conic program. In the special case of a Wasserstein ball with the 1-norm or the ∞-norm, the cone is the nonnegative orthant, and the chance-constrained program can be reformulated as a mixed-integer linear program. Our reformulation compares favorably to several state-of-the-art data-driven optimization schemes in our numerical experiments.
Date Issued
2024-01-01
Date Acceptance
2022-05-08
Citation
Operations Research, 2024, 72 (1), pp.410-424
ISSN
0030-364X
Publisher
Institute for Operations Research and Management Sciences
Start Page
410
End Page
424
Journal / Book Title
Operations Research
Volume
72
Issue
1
Copyright Statement
© 2022 INFORMS
Identifier
https://pubsonline.informs.org/doi/10.1287/opre.2022.2330
Publication Status
Published
Date Publish Online
2022-07-21