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Data-Driven Chance Constrained Programs over Wasserstein Balls

Zhi Chen,D. Kuhn,W. Wiesemann

2018 · DOI: 10.14288/1.0379829
111 Citations

TLDR

This work provides an exact deterministic reformulation for data-driven chance constrained programs over Wasserstein balls and shows that two popular approximation schemes based on the conditional-value-at-risk and the Bonferroni inequality can perform poorly in practice and that these two schemes are generally incomparable with each other.

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 11-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. Using our reformulation, we show that two popular approximation schemes based on the conditional-value-at-risk and the Bonferroni inequality can perform poorly in practice and that these two schemes are generally incomparable with each other.