On distributionally robust chance-constrained linear programs (Q2370049): Difference between revisions

A stochastic linear programming problem is considered. Parameters of constraints are supposed stochastic, and the constraints at the solution point should be satisfied with the prescribed probability. It is shown in the paper that for a class of radially symmetric probability distributions deterministic counterpart is convex and can be constructed explicitly. Next, several situations of not fully specified distributions are considered where uncertainty is tackled by the worst case approach. Explicit deterministic convex constraints are provided guaranteeing the satisfaction of the probabilistic constraints for any distribution from the considered classes.