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Bounds for probabilistic programming with application to a blend planning problem
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
Univ Bergamo, Dept Management Informat & Prod Engn, Via Marconi 5, I-24127 Dalmine, Bg, Italy..ORCID iD: 0000-0003-3968-1934
Univ Paris Saclay, L2S, Cent Supelec, Bat Breguet,3 Rue Joliot Curie, F-91190 Gif Sur Yvette, France..
2022 (English)In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 297, no 3, p. 964-976Article in journal (Refereed) Published
Abstract [en]

In this paper, we derive deterministic inner approximations for single and joint independent or dependent probabilistic constraints based on classical inequalities from probability theory such as the onesided Chebyshev inequality, Bernstein inequality, Chernoff inequality and Hoeffding inequality (see Pinter, 1989). The dependent case has been modelled via copulas. New assumptions under which the bounds based approximations are convex allowing to solve the problem efficiently are derived. When the convexity condition can not hold, an efficient sequential convex approximation approach is further proposed to solve the approximated problem. Piecewise linear and tangent approximations are also provided for Chernoff and Hoeffding inequalities allowing to reduce the computational complexity of the associated optimization problem. Extensive numerical results on a blend planning problem under uncertainty are finally provided allowing to compare the proposed bounds with the Second Order Cone (SOCP) formulation and Sample Average Approximation (SAA).

Place, publisher, year, edition, pages
Elsevier BV , 2022. Vol. 297, no 3, p. 964-976
Keywords [en]
Stochastic programming, Joint chance-constraints, Bounds, Copulas, Blending problem
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-305629DOI: 10.1016/j.ejor.2021.09.023ISI: 000719584000013Scopus ID: 2-s2.0-85117380179OAI: oai:DiVA.org:kth-305629DiVA, id: diva2:1617136
Note

QC 20211206

Available from: 2021-12-06 Created: 2021-12-06 Last updated: 2022-06-25Bibliographically approved

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Peng, Shen

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CiteExportLink to record
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