Approximating data-driven joint chance-constrained programs via uncertainty set construction

L. Jeff Hong; Zhiyuan Huang; Henry Lam

doi:10.1109/WSC.2016.7822106

Approximating data-driven joint chance-constrained programs via uncertainty set construction

L. Jeff Hong, Zhiyuan Huang, Henry Lam

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

10 Scopus citations

Abstract

We study the use of robust optimization (RO) in approximating joint chance-constrained programs (CCP), in situations where only limited data, or Monte Carlo samples, are available in inferring the underlying probability distributions. We introduce a procedure to construct uncertainty set in the RO problem that translates into provable statistical guarantees for the joint CCP. This procedure relies on learning the high probability region of the data and controlling the region's size via a reformulation as quantile estimation. We show some encouraging numerical results.

Original language	English (US)
Title of host publication	2016 Winter Simulation Conference
Subtitle of host publication	Simulating Complex Service Systems, WSC 2016
Editors	Theresa M. Roeder, Peter I. Frazier, Robert Szechtman, Enlu Zhou
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	389-400
Number of pages	12
ISBN (Electronic)	9781509044863
DOIs	https://doi.org/10.1109/WSC.2016.7822106
State	Published - Jul 2 2016
Externally published	Yes
Event	2016 Winter Simulation Conference, WSC 2016 - Arlington, United States Duration: Dec 11 2016 → Dec 14 2016

Publication series

Name	Proceedings - Winter Simulation Conference
Volume	0
ISSN (Print)	0891-7736

Conference

Conference	2016 Winter Simulation Conference, WSC 2016
Country/Territory	United States
City	Arlington
Period	12/11/16 → 12/14/16

Bibliographical note

Publisher Copyright:
© 2016 IEEE.

Publisher link

10.1109/WSC.2016.7822106

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Hong, L. J., Huang, Z., & Lam, H. (2016). Approximating data-driven joint chance-constrained programs via uncertainty set construction. In T. M. Roeder, P. I. Frazier, R. Szechtman, & E. Zhou (Eds.), 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016 (pp. 389-400). Article 7822106 (Proceedings - Winter Simulation Conference; Vol. 0). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2016.7822106

Approximating data-driven joint chance-constrained programs via uncertainty set construction. / Hong, L. Jeff; Huang, Zhiyuan; Lam, Henry.
2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016. ed. / Theresa M. Roeder; Peter I. Frazier; Robert Szechtman; Enlu Zhou. Institute of Electrical and Electronics Engineers Inc., 2016. p. 389-400 7822106 (Proceedings - Winter Simulation Conference; Vol. 0).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Hong, LJ, Huang, Z & Lam, H 2016, Approximating data-driven joint chance-constrained programs via uncertainty set construction. in TM Roeder, PI Frazier, R Szechtman & E Zhou (eds), 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016., 7822106, Proceedings - Winter Simulation Conference, vol. 0, Institute of Electrical and Electronics Engineers Inc., pp. 389-400, 2016 Winter Simulation Conference, WSC 2016, Arlington, United States, 12/11/16. https://doi.org/10.1109/WSC.2016.7822106

Hong LJ, Huang Z, Lam H. Approximating data-driven joint chance-constrained programs via uncertainty set construction. In Roeder TM, Frazier PI, Szechtman R, Zhou E, editors, 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016. Institute of Electrical and Electronics Engineers Inc. 2016. p. 389-400. 7822106. (Proceedings - Winter Simulation Conference). doi: 10.1109/WSC.2016.7822106

Hong, L. Jeff ; Huang, Zhiyuan ; Lam, Henry. / Approximating data-driven joint chance-constrained programs via uncertainty set construction. 2016 Winter Simulation Conference: Simulating Complex Service Systems, WSC 2016. editor / Theresa M. Roeder ; Peter I. Frazier ; Robert Szechtman ; Enlu Zhou. Institute of Electrical and Electronics Engineers Inc., 2016. pp. 389-400 (Proceedings - Winter Simulation Conference).

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Approximating data-driven joint chance-constrained programs via uncertainty set construction

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