Wasserstein Two-Sided Chance Constraints with An Application to Optimal Power Flow

Abstract: As a natural approach to modeling system safety conditions, chance constraint (CC) seeks to satisfy a set of uncertain inequalities individually or jointly with high probability. Although a joint CC offers stronger reliability certificate, it is oftentimes much more challenging to compute than individual CCs. Motivated by the application of optimal power flow, we study a special joint CC, named two-sided CC. We model the uncertain parameters through a Wasserstein ball centered at a Gaussian distribution and derive a hierarchy of conservative approximations based on second-order conic constraints, which can be efficiently computed by off-the-shelf commercial solvers. In addition, we show the asymptotic consistency of these approximations and derive their approximation guarantee when only a finite hierarchy is adopted. We demonstrate the out-of-sample performance and scalability of the proposed model and approximations in a case study based on the IEEE 118-bus and 3120-bus systems.