Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity

@article{HoNguyen2020DistributionallyRC,
  title={Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity},
  author={Nam Ho-Nguyen and F. Kılınç-Karzan and Simge K{\"u}ç{\"u}kyavuz and Dabeen Lee},
  journal={arXiv: Optimization and Control},
  year={2020}
}
We consider exact deterministic mixed-integer programming (MIP) reformulations of distributionally robust chance-constrained programs (DR-CCP) with random right-hand sides over Wasserstein ambiguity sets. The existing MIP formulations are known to have weak continuous relaxation bounds, and, consequently, for hard instances with small radius, or with a large number of scenarios, the branch-and-bound based solution processes suffer from large optimality gaps even after hours of computation time… Expand

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