Spring 2016 Seminar Series

DATE:2/4/16
LOCATION: E51-325
TIME: 4:15pm
Reception immediately following

SPEAKER:
Daniel Kuhn

TITLE
Ambiguous Joint Chance Constraints under Mean and Dispersion Information

ABSTRACT
We study joint chance constraints where the distribution of the uncertain parameters is only known to belong to an ambiguity set characterized by the mean and support of the uncertainties and by an upper bound on their dispersion. This setting gives rise to pessimistic (optimistic) ambiguous chance constraints, which require the corresponding classical chance constraints to be satisfied for every (for at least one) distribution in the ambiguity set. We provide tight conditions under which pessimistic and optimistic joint chance constraints are computationally tractable, and we show numerical results that illustrate the power of our tractability results.