Mathematical Programming

, Volume 170, Issue 1, pp 43–65 | Cite as

Relaxations and approximations of chance constraints under finite distributions

  • Shabbir Ahmed
  • Weijun Xie
Full Length Paper Series B


Optimization problems with constraints involving stochastic parameters that are required to be satisfied with a prespecified probability threshold arise in numerous applications. Such chance constrained optimization problems involve the dual challenges of stochasticity and nonconvexity. In the setting of a finite distribution of the stochastic parameters, an optimization problem with linear chance constraints can be formulated as a mixed integer linear program (MILP). The natural MILP formulation has a weak relaxation bound and is quite difficult to solve. In this paper, we review some recent results on improving the relaxation bounds and constructing approximate solutions for MILP formulations of chance constraints. We also discuss a recently introduced bicriteria approximation algorithm for covering type chance constrained problems. This algorithm uses a relaxation to construct a solution whose (constraint violation) risk level may be larger than the pre-specified threshold, but is within a constant factor of it, and whose objective value is also within a constant factor of the true optimal value. Finally, we present some new results that improve on the bicriteria approximation factors in the finite scenario setting and shed light on the effect of strong relaxations on the approximation ratios.

Mathematics Subject Classification

90C11 90C15 90C27 



This research has been supported in part by the National Science Foundation Award 1633196 and the Office of Naval Research Grant N00014-18-1-2075.


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society 2018

Authors and Affiliations

  1. 1.School of Industrial and Systems EngineeringGeorgia Institute of TechnologyAtlantaUSA
  2. 2.Department of Industrial and Systems EngineeringVirginia TechBlacksburgUSA

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