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In this paper, we tackle the resolution of chance-constrained problems reformulated via sample average approximation. The resulting data-driven deterministic reformulation takes the form of a large-scale mixed-integer program (MIP) cursed with Big-Ms. We introduce an exact resolution method for the MIP that combines the addition of a set of valid inequalities to tighten the linear relaxation bound with coefficient strengthening and constraint screening algorithms to improve its Big-Ms and considerably reduce its size. The proposed valid inequalities are based on the notion of k-envelopes and can be computed off-line using polynomial-time algorithms and added to the MIP program all at once. Furthermore, they are equally useful to boost the strengthening of the Big-Ms and the screening rate of superfluous constraints. We apply our procedures to a probabilistically constrained version of the DC optimal power flow problem with uncertain demand. The chance constraint requires that the probability of violating any of the power system's constraints be lower than some positive threshold. In a series of numerical experiments that involve five power systems of different size, we show the efficiency of the proposed methodology and compare it with some of the best performing convex inner approximations currently available in the literature. History: Accepted by Andrea Lodi, Area Editor for Design & Analysis of Algorithms – Discrete. Funding: This work was supported in part by the European Research Council under the EU Horizon 2020 research and innovation program [Grant 755705], in part by the Spanish Ministry of Science and Innovation [Grant AEI/10.13039/501100011033] through project PID2020-115460GB-I00, and in part by the Junta de Andalucía and the European Regional Development Fund through the research project P20_00153. Á. Porras is also financially supported by the Spanish Ministry of Science, Innovation and Universities through the University Teacher Training Program with fellowship number FPU19/03053. Supplemental Material: The online supplement is available at https://doi.org/10.1287/ijoc.2022.0302. [ABSTRACT FROM AUTHOR]

This paper discusses distributionally robust geometric programs with individual or joint chance constraints. Several groups of uncertainty sets are considered: uncertainty sets with first two order moments information; uncertainty sets with known first order or first two order moments information under nonnegative support; uncertainty sets constrained by the Kullback–Leibler divergence with a normal or discrete reference distribution; uncertainty sets constrained by the Wasserstein distance under discrete, full, or nonnegative real-space support; and joint uncertainty sets for the product of random variables. Under each group of uncertainty sets, we find deterministic reformulations of the distributionally robust geometric programs with individual or joint chance constraints. Convexity, solution methods, and relationships of the reformulation programs are discussed. Finally, numerical tests are carried out on a shape optimization problem. [ABSTRACT FROM AUTHOR]

In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean (MAD). This makes it possible to use the 1972 result of Ben-Tal and Hochman (BH) in which tight upper and lower bounds on the expectation of a convex function of a random variable are given. First, we use these results to treat ambiguous expected feasibility constraints to obtain exact reformulations for both functions that are convex and concave in the components of the random variable. This approach requires, however, the independence of the random variables and, moreover, may lead to an exponential number of terms in the resulting robust counterparts.We then show how upper bounds can be constructed that alleviate the independence restriction, and require only a linear number of terms, by exploiting models in which random variables are linearly aggregated. Moreover, using the BH bounds we derive three new safe tractable approximations of chance constraints of increasing computational complexity and quality. In a numerical study, we demonstrate the efficiency of our methods in solving stochastic optimization problems under mean-MAD ambiguity. [ABSTRACT FROM AUTHOR]

In the paper we consider the chance-constrained version of an affinely perturbed linear matrix inequality (LMI) constraint, assuming the primitive perturbations to be independent with light-tail distributions (e.g., bounded or Gaussian). Constraints of this type, playing a central role in chance-constrained linear/conic quadratic/semidefinite programming, are typically computationally intractable. The goal of this paper is to develop a tractable approximation to these chance constraints. Our approximation is based on measure concentration results and is given by an explicit system of LMIs. Thus, the approximation is computationally tractable; moreover, it is also safe, meaning that a feasible solution of the approximation is feasible for the chance constraint. [ABSTRACT FROM AUTHOR]

In the multidimensional 0-1 knapsack problem, we are given a set of items, each with a value and multiple attributes, and we want to select a subset in such a way that the total value is maximized while the total quantity of each attribute satisfies a capacity constraint. In this paper, we assume that quantities of the item attributes are independent random variables such that those of the same attribute across different items follow the same type of probability distribution, not necessarily with the same parameters. A joint probabilistic constraint is imposed on the capacity constraints, and the objective function is the same as that of the underlying deterministic problem. We prove that the problem is convex, under some condition on the parameters, for special continuous and discrete distributions: gamma, normal, Poisson, and binomial, in which the latter two discrete distribution functions are extended to log-concave continuous distribution functions. We present computational experiments to demonstrate the tractability of our approach. [ABSTRACT FROM AUTHOR]

Freight distribution with electric vehicles (EVs) is a promising alternative to reduce the carbon footprint associated with city logistics. Algorithms for planning routes for EVs should take into account their relatively short driving range and the effects of traffic congestion on the battery consumption. This paper proposes new methodology and illustrates how it can be applied to solve an electric vehicle routing problem with stochastic and time-dependent travel times where battery recharging along routes is not allowed. First, a new method for generating network-consistent (correlated in time and space) and time-dependent speed scenarios is introduced. Second, a new technique for applying branch and price on instances defined on real street networks is developed. Computational experiments demonstrate the effectiveness of the approach for finding optimal or near-optimal solutions in instances with up to 133 customers and almost 1,500 road links. With a high probability, the routes in the obtained solutions can be performed by EVs without requiring intermediate recharging stops. An execution time control policy to further reduce the chances of stranded EVs is also presented. In addition, we measure the cost of independence, which is the impact on solution feasibility when travel times are assumed statistically independent. Last, we give directions on how to extend the proposed framework to handle recourse actions. [ABSTRACT FROM AUTHOR]

Vehicle Routing under Uncertainty In the paper, "The Distributionally Robust Chance Constrained Vehicle Routing Problem," Ghosal and Wiesemann examine when the popular two-index vehicle flow formulation can be used to solve a distributionally robust variant of the capacitated vehicle routing problem when only certain moments of the probability distribution governing the uncertain customer demands are available. In contrast to much of the existing literature, their framework does not require knowledge of the precise probability distribution underlying the customer demands, and it does not require the customer demands to be independent either. They also develop efficient cut generation schemes for several popular classes of moment ambiguity sets that allow the distributionally robust vehicle routing problem to be solved in times that are comparable to the deterministic formulation. We study a variant of the capacitated vehicle routing problem (CVRP), which asks for the cost-optimal delivery of a single product to geographically dispersed customers through a fleet of capacity-constrained vehicles. Contrary to the classical CVRP, which assumes that the customer demands are deterministic, we model the demands as a random vector whose distribution is only known to belong to an ambiguity set. We then require the delivery schedule to be feasible with a probability of at least 1 − ε, where ε characterizes the risk tolerance of the decision maker. We argue that the emerging distributionally robust CVRP can be solved efficiently with standard branch-and-cut algorithms whenever the ambiguity set satisfies a subadditivity condition. We then show that this subadditivity condition holds for a large class of moment ambiguity sets. We derive efficient cut generation schemes for ambiguity sets that specify the support as well as (bounds on) the first and second moments of the customer demands. Our numerical results indicate that the distributionally robust CVRP has favorable scaling properties and can often be solved in runtimes comparable to those of the deterministic CVRP. [ABSTRACT FROM AUTHOR]

In this paper, we consider a finite-horizon stochastic mixed-integer program involving dynamic decisions under a constraint on the overall performance or reliability of the system. We formulate this problem as a multistage (dynamic) chance-constrained program, whose deterministic equivalent is a large-scale mixed-integer program. We study the structure of the formulation and develop a branch-and-cut method for its solution. We illustrate the efficacy of the proposed model and method on a dynamic inventory control problem with stochastic demand in which a specific service level must be met over the entire planning horizon. We compare our dynamic model with a static chance-constrained model, a dynamic risk-averse optimization model, a robust optimization model, and a pseudo-dynamic approach and show that significant cost savings can be achieved at high service levels using our model. [ABSTRACT FROM AUTHOR]

Selecting the solution with the largest or smallest mean of a primary performance measure from a finite set of solutions while requiring secondary performance measures to satisfy certain constraints is called constrained selection of the best (CSB) in the simulation ranking and selection literature. In this paper, we consider CSB problems with secondary performance measures that must satisfy probabilistic constraints, and we call such problems chance constrained selection of the best (CCSB). We design procedures that first check the feasibility of all solutions and then select the best among all the sample feasible solutions. We prove the statistical validity of these procedures for variations of the CCSB problem under the indifference-zone formulation. Numerical results show that the proposed procedures can efficiently handle CCSB problems with up to 100 solutions, each with five chance constraints. [ABSTRACT FROM AUTHOR]

Package carriers use sophisticated automated sorting facilities to efficiently process inbound packages and sort them to their down line destinations. During each of several daily processing windows, primary sorters perform high level sortation of the packages and direct them to one of several secondary sorters that are then used to segregate the packages by their outbound loading destinations. We examine the problem of assigning package destinations to the secondary sorters in a way that balances the workload in the facility, while incorporating the day-to-day fluctuation in package volumes and adhering to the outbound loading capacities of the various workcenters in the facility. We present a general stochastic modeling framework using chance constraints to balance the flows, and robust constraints to model the capacity limits. We propose and evaluate the performance of three alternative mixed integer nonlinear formulations for the problem and determine which is most effective. Significant improvement in package flow balance and loading capacity robustness is shown for the test sorting facilities by comparing the solutions from the proposed new model to those obtained when ignoring, partially or completely, the stochasticity in the package volumes. [ABSTRACT FROM AUTHOR]

We provide an explicit gradient formula for linear chance constraints under a (possibly singular) multivariate Gaussian distribution. This formula allows one to reduce the calculus of gradients to the calculus of values of the same type of chance constraints (in smaller dimension and with different distribution parameters). This is an important aspect for the numerical solution of stochastic optimization problems because existing efficient codes for, e.g., calculating singular Gaussian distributions or regular Gaussian probabilities of polyhedra can be employed to calculate gradients at the same time. Moreover, the precision of gradients can be controlled by that of function values, which is a great advantage over using finite difference approximations. Finally, higher order derivatives are easily derived explicitly. The use of the obtained formula is illustrated for an example of a transportation network with stochastic demands. [ABSTRACT FROM AUTHOR]