Probable Event Constrained Optimization and A Data-embedded Solution Paradigm

Abstract

This paper solves a new class of optimization problems under uncertainty, called Probable Event Constrained Optimization (PECO), which optimizes an objective function of decision variables and subjects to a set of Probable Event Constraints (PEC). This new type of constraint guarantees that optimal solutions are feasible for all uncertain events whose joint probabilities are greater than a user-defined threshold. The PEC can be used as an alternative to the conventional chance constraint, while the latter cannot guarantee the solution's feasibility to high-probability uncertain events. Given that the existing solution methods of optimization problems under uncertainty are not suitable for solving PECO problems, we develop a novel data-embedded solution paradigm that uses historical measurements/data of the uncertain parameters as input samples. This solution paradigm is conceptually simple and allows us to develop effective data-reduction schemes which reduce computational burden while preserving high accuracy.

26 pages