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

DOI10.1287/OPRE.2022.2330arXiv1809.00210MaRDI QIDQ6198751FDOQ6198751

Wolfram Wiesemann, Daniel Kuhn, Zhi Chen

Publication date: 20 March 2024

Published in: Operations Research (Search for Journal in Brave)

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.

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

zbMATH Keywords

Wasserstein distancedistributionally robust optimizationambiguous chance constraints

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Cited In (2)

• A distributionally robust chance-constrained model for humanitarian relief network design
• Distributionally robust optimization using optimal transport for Gaussian mixture models

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