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Data-Driven Chance Constrained Programs over Wasserstein Balls Wiesemann, Wolfram
Description
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 $\infty$-norm, the cone is the nonnegative orthant, and the chance constrained program can be reformulated as a mixed-integer linear program. Using our reformulation, we show that two popular approximation schemes based on the conditional-value-at-risk and the Bonferroni inequality can perform poorly in practice and that these two schemes are generally incomparable with each other.
Item Metadata
Title |
Data-Driven Chance Constrained Programs over Wasserstein Balls
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2019-01-14T16:12
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Description |
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 $\infty$-norm, the cone is the nonnegative orthant, and the chance constrained program can be reformulated as a mixed-integer linear program. Using our reformulation, we show that two popular approximation schemes based on the conditional-value-at-risk and the Bonferroni inequality can perform poorly in practice and that these two schemes are generally incomparable with each other.
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Extent |
41.0 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: Imperial College London
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Series | |
Date Available |
2019-07-14
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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DOI |
10.14288/1.0379829
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Faculty
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International