Corpus ID: 220514484

Strong Formulations for Distributionally Robust Chance-Constrained Programs with Left-Hand Side Uncertainty under Wasserstein Ambiguity

@article{HoNguyen2020StrongFF,
  title={Strong Formulations for Distributionally Robust Chance-Constrained Programs with Left-Hand Side Uncertainty under Wasserstein Ambiguity},
  author={Nam Ho-Nguyen and Fatma Kilincc-Karzan and Simge Kuccukyavuz and Dabeen Lee},
  journal={arXiv: Optimization and Control},
  year={2020}
}
Distributionally robust chance-constrained programs (DR-CCP) over Wasserstein ambiguity sets exhibit attractive out-of-sample performance and admit big-$M$-based mixed-integer programming (MIP) reformulations with conic constraints. However, the resulting formulations often suffer from scalability issues as sample size increases. To address this shortcoming, we derive stronger formulations that scale well with respect to the sample size. Our focus is on ambiguity sets under the so-called left… Expand

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