α-Conservative approximation for probabilistically constrained convex programs
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In this paper, we address an approximate solution of a probabilistically constrained convex program (PCCP), where a convex objective function is minimized over solutions satisfying, with a given probability, convex constraints that are parameterized by random variables. In order to approach to a solution, we set forth a conservative approximation problem by introducing a parameter α which indicates an approximate accuracy, and formulate it as a D.C. optimization problem.
As an example of the PCCP, the Value-at-Risk (VaR) minimization is considered under the assumption that the support of the probability of the associated random loss is given by a finitely large number of scenarios. It is advantageous in solving the D.C. optimization that the numbers of variables and constraints are independent of the number of scenarios, and a simplicial branch-and-bound algorithm is posed to find a solution of the D.C. optimization. Numerical experiments demonstrate the following: (i) by adjusting a parameter α, the proposed problem can achieve a smaller VaR than the other convex approximation approaches; (ii) when the number of scenarios is large, a typical 0-1 mixed integer formulation for the VaR minimization cannot be solved in a reasonable time and the improvement of the incumbent values is slow, whereas the proposed method can achieve a good solution at an early stage of the algorithm.
KeywordsChance constraint D.C. optimization Branch-and-bound Value-at-risk minimization Probabilistically constrained program
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