DC Algorithm for Sample Average Approximation of Chance Constrained Programming: Convergence and Numerical Results

Chance constrained programming refers to an optimization problem with uncertain constraints that must be satisfied with at least a prescribed probability level. In this work, we study a class of structured chance constrained programs in the data-driven setting, where the objective function is a difference-of-convex (DC) function and the functions in the chance constraint are all convex. By exploiting the structure, we reformulate it into a DC constrained DC program. Then, we propose a proximal DC algorithm for solving the reformulation. Moreover, we prove the convergence of the proposed algorithm based on the Kurdyka-\L ojasiewicz property and derive the iteration complexity for finding an approximate KKT point. We point out that the proposed pDCA and its associated analysis apply to general DC constrained DC programs, which may be of independent interests. To support and complement our theoretical development, we show via numerical experiments that our proposed approach is competitive with a host of existing approaches.Comment: 31 pages, 3 table

Threshold boolean form for joint probabilistic constraints with random technology matrix.

We develop a new modeling and exact solution method for stochastic programming problems that include a joint probabilistic constraint in which the multirow random technology matrix is discretely distributed. We binarize the probability distribution of the random variables in such a way that we can extract a threshold partially defined Boolean function (pdBf) representing the probabilistic constraint. We then construct a tight threshold Boolean minorant for the pdBf. Any separating structure of the tight threshold Boolean minorant defines sufficient conditions for the satisfaction of the probabilistic constraint and takes the form of a system of linear constraints. We use the separating structure to derive three new deterministic formulations equivalent to the studied stochastic problem. We derive a set of strengthening valid inequalities for the reformulated problems. A crucial feature of the new integer formulations is that the number of integer variables does not depend on the number of scenarios used to represent uncertainty. The computational study, based on instances of the stochastic capital rationing problem, shows that the MIP reformulations are orders of magnitude faster to solve than the MINLP formulation. The method integrating the derived valid inequalities in a branch-andbound algorithm has the best performance

Multi-Objective Probabilistically Constrained Programming with Variable Risk: New Models and Applications

We consider a class of multi-objective probabilistically constrained problems MOPCP with a joint chance constraint, a multi-row random technology matrix, and a risk parameter (i.e., the reliability level) defined as a decision variable. We propose a Boolean modeling framework and derive a series of new equivalent mixed-integer programming formulations. We demonstrate the computational efficiency of the formulations that contain a small number of binary variables. We provide modeling insights pertaining to the most suitable reformulation, to the trade-off between the conflicting cost/revenue and reliability objectives, and to the scalarization parameter determining the relative importance of the objectives. Finally, we propose several MOPCP variants of multi-portfolio financial optimization models that implement a downside risk measure and can be used in a centralized or decentralized investment context. We study the impact of the model parameters on the portfolios, show, via a cross-validation study, the robustness of the proposed models, and perform a comparative analysis of the optimal investment decisions

Tight and Compact Sample Average Approximation for Joint Chance-Constrained Problems with Applications to Optimal Power Flow.

In this paper, we tackle the resolution of chance-constrained problems reformulated via sample average approximation. The resulting data-driven deterministic reformulation takes the form of a large-scale mixed-integer program (MIP) cursed with Big-Ms. We introduce an exact resolution method for the MIP that combines the addition of a set of valid inequalities to tighten the linear relaxation bound with coefficient strengthening and constraint screening algorithms to improve its Big-Ms and considerably reduce its size. The proposed valid inequalities are based on the notion of k-envelopes and can be computed off-line using polynomial-time algorithms and added to the MIP program all at once. Furthermore, they are equally useful to boost the strengthening of the Big-Ms and the screening rate of superfluous constraints. We apply our procedures to a probabilistically constrained version of the DC optimal power flow problem with uncertain demand. The chance constraint requires that the probability of violating any of the power system’s constraints be lower than some positive threshold. In a series of numerical experiments that involve five power systems of different size, we show the efficiency of the proposed methodology and compare it with some of the best performing convex inner approximations currently available in the literature.This work was supported in part by the European Research Council under the EU Horizon 2020 research and innovation program [Grant 755705], in part by the Spanish Ministry of Science and Innovation [Grant AEI/10.13039/501100011033] through project PID2020-115460GB-I00, and in part by the Junta de Andalucía and the European Regional Development Fund through the research project P20_00153. Á. Porras is also financially supported by the Spanish Ministry of Science, Innovation and Universities through the University Teacher Training Program with fellowship number FPU19/03053

Proportional and maxmin fairness for the sensor location problem with chance constraints

International audienceIn this paper we present a study on the Equitable Sensor Location Problem and we focus on the stochastic version of the problem where the surveying capacity of some sensors is measured as probability of intrusions detection. The Equitable Sensor Location Problem, which is an extension of the Equitable Facility Location Problem, considers installing surveying facilities as cameras/sensors in order to monitor and protect some important locations. Each location can be simultaneously protected by multiple facilities. Clearly this problem falls into the category of Maximal Coverage Location Problem and we focus on the equitable variant. The objective of the Equitable Sensor Location Problem is to provide equitable protection to all locations when the number of sensors that can be placed is limited. We study the resilient and ambiguous versions of this problem. The resilient sensor location problem considers the case when some sensors are assumed to fail partially or completely. The ambiguous version studies the case when the surveying probabilities are uncertain and represented by independent Bernouilli random variables with the corresponding ambiguity set containing the Bernouilli probability distributions. For each problem we consider two popular fairness measures which are the lexicographic optimal and proportionally fair solutions and provide an integer linear formulation together with the solution methodology. Numerical results for each studied problem are provided at the end of the paper