Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls

DOI10.1287/OPRE.2022.2330MaRDI QIDQ6198751zbMATH OpenFDO

Authors Zhi Chen, Daniel Kuhn, Wolfram Wiesemann

Publication date 20 March 2024

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.00210

zbMATH Keywords

ambiguous chance constraintsdistributionally robust optimizationWasserstein distance

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Abstract: 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. Our reformulation compares favourably to several state-of-the-art data-driven optimization schemes in our numerical experiments.

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