Data-Driven Chance Constrained Programs over Wasserstein Balls

@article{Chen2018DataDrivenCC,
  title={Data-Driven Chance Constrained Programs over Wasserstein Balls},
  author={Zhi Chen and D. Kuhn and W. Wiesemann},
  journal={arXiv: Optimization and Control},
  year={2018}
}
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. Using our… Expand

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