Data-Driven Chance Constrained Programs over Wasserstein Balls

被引：39

作者：

Chen, Zhi ^{[1
]}

Kuhn, Daniel ^{[2
]}

Wiesemann, Wolfram ^{[3
]}

机构：

[1] City Univ Hong Kong, Coll Business, Dept Management Sci, Kowloon Tong, Hong Kong, Peoples R China

[2] Ecole Polytech Fed Lausann, Risk Analyt & Optimizat Chair, CH-1015 Lausanne, Switzerland

[3] Imperial Coll London, Imperial Coll Business Sch, South Kensington Campus, London SW7 2AZ, England

来源：

OPERATIONS RESEARCH | 2024年 / 72卷 / 01期

基金：

英国工程与自然科学研究理事会; 瑞士国家科学基金会;

关键词：

distributionally robust optimization; ambiguous chance constraints; Wasserstein distance; DISTRIBUTIONALLY ROBUST OPTIMIZATION;

D O I：

10.1287/opre.2022.2330

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

We provide an exact deterministic reformulation for data-driven, chanceconstrained 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.

引用

页码：410 / 424

页数：16

共 50 条

[21] Data-Driven Chance Constrained Control using Kernel Distribution Embeddings
Thorpe, Adam J.
Lew, Thomas
Oishi, Meeko M. K.
Pavone, Marco
[J]. LEARNING FOR DYNAMICS AND CONTROL CONFERENCE, VOL 168, 2022, 168
[22] Data-Driven Robust Chance Constrained Problems: A Mixture Model Approach
Zhiping Chen
Shen Peng
Jia Liu
[J]. Journal of Optimization Theory and Applications, 2018, 179 : 1065 - 1085
[23] Data-Driven Nonparametric Chance-Constrained Optimization for Microgrid Energy Management
Ciftci, Okan
Mehrtash, Mahdi
Kargarian, Amin
[J]. IEEE TRANSACTIONS ON INDUSTRIAL INFORMATICS, 2020, 16 (04) : 2447 - 2457
[24] Data-driven assisted chance-constrained energy and reserve scheduling with wind curtailment
Lei, Xingyu
Yang, Zhifang
Zhao, Junbo
Yu, Juan
[J]. APPLIED ENERGY, 2022, 321
[25] Data-driven Distributionally Adjustable Robust Chance-constrained DG Capacity Assessment
Masoume Mahmoodi
Seyyed Mahdi Noori Rahim Abadi
Ahmad Attarha
Paul Scott
Lachlan Blackhall
[J]. Journal of Modern Power Systems and Clean Energy, 2024, (01) : 115 - 127
[26] Data-driven Distributionally Adjustable Robust Chance-constrained DG Capacity Assessment
Mahmoodi, Masoume
Abadi, Seyyed Mahdi Noori Rahim
Attarha, Ahmad
Scott, Paul
Blackhall, Lachlan
[J]. JOURNAL OF MODERN POWER SYSTEMS AND CLEAN ENERGY, 2024, 12 (01) : 115 - 127
[27] Data-Driven Chance-Constrained Regulation Capacity Offering for Distributed Energy Resources
Zhang, Hongcai
Hu, Zechun
Munsing, Eric
Moura, Scott J.
Song, Yonghua
[J]. IEEE TRANSACTIONS ON SMART GRID, 2019, 10 (03) : 2713 - 2725
[28] Data-Driven Chance-Constrained Planning for Distributed Generation: A Partial Sampling Approach
Jiang, Shiyi
Cheng, Jianqiang
Pan, Kai
Qiu, Feng
Yang, Boshi
[J]. IEEE TRANSACTIONS ON POWER SYSTEMS, 2023, 38 (06) : 5228 - 5244
[29] Data-driven individual and joint chance-constrained optimization via kernel smoothing
Calfa, B. A.
Grossmann, I. E.
Agarwal, A.
Bury, S. J.
Wassick, J. M.
[J]. COMPUTERS & CHEMICAL ENGINEERING, 2015, 78 : 51 - 69
[30] Data-Driven State Transition Algorithm for Fuzzy Chance-Constrained Dynamic Optimization
Lin, Feifan
Zhou, Xiaojun
Li, Chaojie
Huang, Tingwen
Yang, Chunhua
[J]. IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2023, 34 (09) : 5322 - 5331

← 1 2 3 4 5 →