Robust approximation of chance constrained optimization with polynomial perturbation
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2022
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| _version_ | 1866914921638264832 |
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| author | Rao, Bo Yang, Liu Zhong, Suhan Zhou, Guangming |
| author_facet | Rao, Bo Yang, Liu Zhong, Suhan Zhou, Guangming |
| contents | This paper proposes a robust approximation method for solving chance constrained optimization (CCO) of polynomials. Assume the CCO is defined with an individual chance constraint that is affine in the decision variables. We construct a robust approximation by replacing the chance constraint with a robust constraint over an uncertainty set. When the objective function is linear or SOS-convex, the robust approximation can be equivalently transformed into linear conic optimization. Semidefinite relaxation algorithms are proposed to solve these linear conic transformations globally and their convergent properties are studied. We also introduce a heuristic method to find efficient uncertainty sets such that optimizers of the robust approximation are feasible to the original problem. Numerical experiments are given to show the efficiency of our method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2211_13395 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Robust approximation of chance constrained optimization with polynomial perturbation Rao, Bo Yang, Liu Zhong, Suhan Zhou, Guangming Optimization and Control This paper proposes a robust approximation method for solving chance constrained optimization (CCO) of polynomials. Assume the CCO is defined with an individual chance constraint that is affine in the decision variables. We construct a robust approximation by replacing the chance constraint with a robust constraint over an uncertainty set. When the objective function is linear or SOS-convex, the robust approximation can be equivalently transformed into linear conic optimization. Semidefinite relaxation algorithms are proposed to solve these linear conic transformations globally and their convergent properties are studied. We also introduce a heuristic method to find efficient uncertainty sets such that optimizers of the robust approximation are feasible to the original problem. Numerical experiments are given to show the efficiency of our method. |
| title | Robust approximation of chance constrained optimization with polynomial perturbation |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2211.13395 |