论文标题
在瓦斯堡的歧义下,分配强大的机会受限的程序具有右侧不确定性
Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty under Wasserstein Ambiguity
论文作者
论文摘要
我们考虑确切的确定性混合智能编程(MIP)对分布强大的机会约束程序(DR-CCP)的重新进行的重新进行,并在Wasserstein模棱两可的情况下随机右侧。已知现有的MIP公式的连续松弛范围较弱,因此,对于半径较小的硬实例,或具有较大问题大小的硬实例,即使在计算时间后,基于分支和分支的解决方案过程也存在较大的最佳最佳差距。这大大阻碍了DR-CCP范式的实际应用。在这些挑战的激励下,我们进行了一项多面体研究,以加强这些表述。我们揭示了DR-CCP及其名义对应物(样本平均近似),混合集和强大的0-1编程之间的几个隐藏连接。通过组合利用这些连接,我们为DR-CCP提供了改进的配方和两类有效的不平等。我们在数值上测试结果对随机运输问题的影响。我们的实验证明了我们方法的有效性;特别是我们改进的配方和拟议的有效不平等明显减少了整体解决方案时间。此外,这使我们能够通过将解决方案时间从小时数减少到几秒钟来显着扩大可以在此类DR-CCP公式中处理的问题大小。
We consider exact deterministic mixed-integer programming (MIP) reformulations of distributionally robust chance-constrained programs (DR-CCP) with random right-hand sides over Wasserstein ambiguity sets. The existing MIP formulations are known to have weak continuous relaxation bounds, and, consequently, for hard instances with small radius, or with large problem sizes, the branch-and-bound based solution processes suffer from large optimality gaps even after hours of computation time. This significantly hinders the practical application of the DR-CCP paradigm. Motivated by these challenges, we conduct a polyhedral study to strengthen these formulations. We reveal several hidden connections between DR-CCP and its nominal counterpart (the sample average approximation), mixing sets, and robust 0-1 programming. By exploiting these connections in combination, we provide an improved formulation and two classes of valid inequalities for DR-CCP. We test the impact of our results on a stochastic transportation problem numerically. Our experiments demonstrate the effectiveness of our approach; in particular our improved formulation and proposed valid inequalities reduce the overall solution times remarkably. Moreover, this allows us to significantly scale up the problem sizes that can be handled in such DR-CCP formulations by reducing the solution times from hours to seconds.