0/1 Constrained Optimization Solving Sample Average Approximation for Chance Constrained Programming
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Abstract: Sample average approximation (SAA) is a tractable approach to deal with the chance constrained programming, a challenging issue in stochastic programming. The constraint is usually characterized by the 0/1 loss function which results in enormous difficulties in designing numerical algorithms. Most existing methods have been created based on the SAA reformulation, such as binary integer programming or the relaxation, and no viable algorithms have been developed to tackle SAA directly, not to mention theoretical guarantees. In this paper, we investigate a general 0/1 constrained optimization that includes SAA as a special case and thus provide a new way to address SAA. We first show that the new model has some advantageous statistic properties. Then by deriving the Bouligand tangent and Frechet normal cones of the 0/1 constraint, we establish several optimality conditions including the one that can be equivalently expressed by a system of equations, thereby allowing us to design a smoothing Newton type method. We show that the proposed algorithm has a locally quadratic convergence rate and nice numerical performance in comparison with two select algorithms and GUROBI.
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