Data-driven approximation of distributionally robust chance constraints using Bayesian credible intervals

Zhiping Chen (), Wentao Ma () and Bingbing Ji ()
Additional contact information
Zhiping Chen: Xi’an Jiaotong University
Wentao Ma: Xi’an Jiaotong University
Bingbing Ji: Xi’an Jiaotong University

OR Spectrum: Quantitative Approaches in Management, 2025, vol. 47, issue 3, No 8, 969-1009

Abstract: Abstract The non-convexity and intractability of distributionally robust chance constraints make them challenging to cope with. From a data-driven perspective, we propose formulating it as a robust optimization problem which can ensure that the distributionally robust chance constraint is satisfied with high probability. To incorporate available data and prior distribution knowledge, we construct ambiguity sets for distributionally robust chance constraints using Bayesian credible intervals. We establish the congruent relationship between the ambiguity set in the Bayesian distributionally robust chance constraint and the uncertainty set in a specific robust optimization. In contrast to most existent uncertainty set construction methods which are only applicable for particular settings, our approach provides a unified and flexible framework for constructing uncertainty sets under different marginal distribution assumptions. Additionally, under the concavity assumption, our method provides strong finite sample probability guarantees for feasible solutions. The practicality and effectiveness of our approach are illustrated with numerical experiments on portfolio management and queuing system problems. Overall, our approach offers a promising solution to distributionally robust chance constrained problems and has potential applications in other fields.

Keywords: Chance constraint; Data-driven; Uncertainty set; Ambiguity set; Bayesian credible interval; Robust optimization (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00291-024-00807-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:orspec:v:47:y:2025:i:3:d:10.1007_s00291-024-00807-6

Ordering information: This journal article can be ordered from
http://www.springer. ... research/journal/291

DOI: 10.1007/s00291-024-00807-6

Access Statistics for this article

OR Spectrum: Quantitative Approaches in Management is currently edited by Rainer Kolisch

More articles in OR Spectrum: Quantitative Approaches in Management from Springer, Gesellschaft für Operations Research e.V.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().