Distributionally Robust Joint Chance-Constrained Programming with Wasserstein Metric

Abstract: In this paper, we develop an exact reformulation and a deterministic approximation for distributionally robust joint chance-constrained programmings (DRCCPs) with a general class of convex uncertain constraints under data-driven Wasserstein ambiguity sets. It is known that robust chance constraints can be conservatively approximated by worst-case conditional value-at-risk (CVaR) constraints. It is shown that the proposed worst-case CVaR approximation model can be reformulated as an optimization problem involving biconvex constraints for joint DRCCP. We then derive a convex relaxation of this approximation model by constructing new decision variables which allows us to eliminate biconvex terms. Specifically, when the constraint function is affine in both the decision variable and the uncertainty, then the resulting approximation model is equivalent to a tractable mixed-integer convex reformulation for joint binary DRCCP. Numerical results illustrate the computational effectiveness and superiority of the proposed formulations.