Journal ArticleDOI
Distributionally robust joint chance constraints with second-order moment information
TLDR
It is proved that this approximation is exact for robust individual chance constraints with concave or (not necessarily concave) quadratic constraint functions, and it is demonstrated that the Worst-Case CVaR can be computed efficiently for these classes of constraint functions.Abstract:
We develop tractable semidefinite programming based approximations for distributionally robust individual and joint chance constraints, assuming that only the first- and second-order moments as well as the support of the uncertain parameters are given. It is known that robust chance constraints can be conservatively approximated by Worst-Case Conditional Value-at-Risk (CVaR) constraints. We first prove that this approximation is exact for robust individual chance constraints with concave or (not necessarily concave) quadratic constraint functions, and we demonstrate that the Worst-Case CVaR can be computed efficiently for these classes of constraint functions. Next, we study the Worst-Case CVaR approximation for joint chance constraints. This approximation affords intuitive dual interpretations and is provably tighter than two popular benchmark approximations. The tightness depends on a set of scaling parameters, which can be tuned via a sequential convex optimization algorithm. We show that the approximation becomes essentially exact when the scaling parameters are chosen optimally and that the Worst-Case CVaR can be evaluated efficiently if the scaling parameters are kept constant. We evaluate our joint chance constraint approximation in the context of a dynamic water reservoir control problem and numerically demonstrate its superiority over the two benchmark approximations.read more
Citations
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Journal ArticleDOI
Joint Chance-constrained Game for Coordinating Microgrids in Energy and Reserve Markets: A Bayesian Optimization Approach
Yifu Ding,Benjamin F. Hobbs +1 more
TL;DR: In this article , a distributionally robust joint chance-constrained (DRJCC) game-theoretical framework considering uncertain real-time reserve provisions and the value of lost load (VoLL) was designed to regulate the underdelivered reserve capacity of all micro-grids in a non-cooperative game.
Proceedings ArticleDOI
Coordinating renewable microgrids for reliable reserve services: a distributionally robust chance-constrained game
TL;DR: In this article , a distributionally robust chance-constrained (DRCC) market game simulating risk-aware bidding and system-wide reserve policy was designed to solve the problem of underdelivered reserve services in the real-time market.
Journal ArticleDOI
Robustness of stochastic programs with endogenous randomness via contamination
Miloš Kopa,Tomáš Rusý +1 more
TL;DR: In this paper , the authors study the effect of perturbation in the probability distribution by some contaminating distribution on the optimal value of stochastic programs and develop a tighter lower bound applicable to wider range of problems.
Globalized distributionally robust optimization based on samples
Yueyao Li,Wenxun Xing +1 more
TL;DR: Two globalized distributionally robust optimization (GDRO) models which choose a core set based on data and a sample space containing the core set to balance the degree of robustness and conservatism at the same time are introduced.
Journal ArticleDOI
Distributionally Robust Chance-Constrained p-Hub Center Problem
Yu Zhao,Zhi Chen,Zhenzhen Zhang +2 more
TL;DR: Two distributionally robust chance constrained models are investigated, which cover the existing stochastic one with independent normal distribution and the sample average approximation approach as a special case, respectively.
References
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TL;DR: Free MATLAB toolbox YALMIP is introduced, developed initially to model SDPs and solve these by interfacing eternal solvers by making development of optimization problems in general, and control oriented SDP problems in particular, extremely simple.
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TL;DR: In this paper, a new approach to optimize or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications, which focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value at Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well.
Journal ArticleDOI
Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
Erick Delage,Yinyu Ye +1 more
TL;DR: This paper proposes a model that describes uncertainty in both the distribution form (discrete, Gaussian, exponential, etc.) and moments (mean and covariance matrix) and demonstrates that for a wide range of cost functions the associated distributionally robust stochastic program can be solved efficiently.
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Second-order cone programming
Farid Alizadeh,Donald Goldfarb +1 more
TL;DR: SOCP formulations are given for four examples: the convex quadratically constrained quadratic programming (QCQP) problem, problems involving fractional quadRatic functions, and many of the problems presented in the survey paper of Vandenberghe and Boyd as examples of SDPs can in fact be formulated as SOCPs and should be solved as such.
Journal ArticleDOI
The scenario approach to robust control design
TL;DR: A rich family of control problems which are in general hard to solve in a deterministically robust sense is therefore amenable to polynomial-time solution, if robustness is intended in the proposed risk-adjusted sense.
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