Data-Driven Chance Constrained Programs over Wasserstein Balls
Data-Driven Chance Constrained Programs over Wasserstein Balls
Zhi Chen,D. Kuhn,W. Wiesemann
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 1-norm or the ∞-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.
