Safe Approximations for Distributionally Robust Joint Chance Constrained Program

Chenchen Wu (), Dachuan Xu () and Jiawei Zhang ()
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Chenchen Wu: College of Science, Tianjin University of Technology, Tianjin 300384, P. R. China
Dachuan Xu: Department of Information and Operations Research, Beijing University of Technology, Beijing 100124, P. R. China
Jiawei Zhang: Stern School of Business, New York University, New York, NY, 10012-1126, USA

Asia-Pacific Journal of Operational Research (APJOR), 2015, vol. 32, issue 01, 1-20

Abstract: In this paper, we present a bilinear second-order cone programming safe approximation for the distributionally robust chance constrained program (DRCCP), assuming that the support of the uncertain parameters, and the first and second marginal moments of the probability with respect to the interval constraint imposed on the sum of the uncertain parameters are given. If we further know the covariance matrix, we can obtain a bilinear semi-definite programming safe approximation. Preliminary numerical tests indicate that the proposed models are competitive.

Keywords: Second-order cone programming; semi-definite programming; safe approximation; distributionally robust optimization; chance constrained program (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0217595915400047

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