Distributionally robust chance constraints for non-linear uncertainties (Q5962718)

The authors investigate the computational aspects of distributionally robust chance constrained (DRCC)\ optimization problems, in the case where the constraints can be nonlinear to the decision variable, and in particular to the uncertain parameters. The authors show that the DRCC optimization is tractable, provided that the uncertainty is characterized by its mean and variance, and the constraint function is concave in the decision variables, and quasi-convex in the uncertain parameters. They establish an equivalence relationship between DRCC and the robust optimization framework that models uncertainty in a deterministic manner. Also, they consider probabilistic envelope constraints, a generalization of distributionally robust chance constraints, first proposed in [\textit{H. Xu} et al., Oper. Res. 60, No. 3, 682--699 (2012; Zbl 1251.90301)] for the linear case. The authors extend this framework to the nonlinear case, and derive sufficient conditions that guarantee its tractability. Finally, they investigate tractable approximations of joint probabilistic envelope constraints, and provide the conditions when these approximation formulations are tractable.