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Distributionally robust polynomial chance-constraints under mixture ambiguity sets

Jean Lasserre 1 Tillmann Weisser 1
1 LAAS-MAC - Équipe Méthodes et Algorithmes en Commande
LAAS - Laboratoire d'analyse et d'architecture des systèmes
Abstract : Given $X \subset R^n$, $\varepsilon \in (0,1)$, a parametrized family of probability distributions $(\mu_{a})_{a\in A}$ on $\Omega\subset R^p$, we consider the feasible set $X^*_\varepsilon\subset X$ associated with the {\em distributionally robust} chance-constraint \[X^*_\varepsilon\,=\,\{x \in X :\:{\rm Prob}_\mu[f(x,\omega)\,>\,0]> 1-\varepsilon,\,\forall\mu\in M_a\},\] where $M_a$ is the set of all possibles mixtures of distributions $\mu_a$, $a\in A$. For instance and typically, the family $M_a$ is the set of all mixtures of Gaussian distributions on $R$ with mean and standard deviation $a=(a,\sigma)$ in some compact set $A\subset R^2$. We provide a sequence of inner approximations $X^d_\varepsilon=\{x\in X: w_d(x) <\varepsilon\}$, $d\in N$, where $w_d$ is a polynomial of degree $d$ whose vector of coefficients is an optimal solution of a semidefinite program. The size of the latter increases with the degree $d$. We also obtain the strong and highly desirable asymptotic guarantee that $\lambda(X^*_\varepsilon\setminus X^d_\varepsilon)\to0$ as $d$ increases, where $\lambda$ is the Lebesgue measure on $X$. Same results are also obtained for the more intricated case of distributionally robust ``joint" chance-constraints.
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Submitted on : Wednesday, November 21, 2018 - 4:37:09 PM
Last modification on : Thursday, June 10, 2021 - 3:06:52 AM

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Jean Lasserre, Tillmann Weisser. Distributionally robust polynomial chance-constraints under mixture ambiguity sets. Mathematical Programming, Series A, Springer, 2021, 185, pp.409--453. ⟨10.1007/s10107-019-01434-8⟩. ⟨hal-01755147v2⟩

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