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math.OC2026
Robust Chance-Constrained Optimization using a Continuous Parameter Space Wasserstein-2 Ambiguity Set of Gaussian Mixtures
Shibshankar Dey, Sanjay Mehrotra
We study distributionally robust linear chance-constrained problems in which uncertainty is modeled by a Gaussian mixture model (GMM). Finite-support distributionally robust (FDR)…
math.OC2025
On Solving Chance-Constrained Models with Gaussian Mixture Distribution
Shibshankar Dey, Sanjay Mehrotra, Anirudh Subramanyam
We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer appr…
math.OC2025
A Cutting-plane and Benders' Decomposition Algorithm for Two-Stage Distributionally Robust Convex programs
Fengqiao Luo, Shibshankar Dey, Sanjay Mehrotra
We present a finitely convergent cutting-plane algorithm for solving a general mixed-integer convex program given an oracle for solving a general convex program. This method is ext…