XVII th Conference on Stochastic Programming

Distributionally Robust Chance-Constrained Optimization with Decision-Dependent Support

31 juil. 2025, 11:30

25m

F107

Invited talk Stochastic Optimization under Decision-Dependent Uncertainty Mini-symposium

Orateur

Miguel Lejeune (George Washington University)

Description

We study distributionally robust chance-constrained optimization problems under decision-dependent uncertainty. The focus is on decision-dependent uncertainty of Type 1 in which the support of the random variables is decision-dependent. We study various types of coupling functions and ambiguity. We derive computationally tractable equivalent reformulations and design customized solution methods, whose effectiveness is illustrated with a series of computational tests.