Distributionally robust chance-constrained optimization with Gaussian mixture ambiguity set

Abstract

Conventional chance-constrained programming methods suffer from the inexactness of the estimated probability distribution of the underlying uncertainty from data. To this end, a distributionally robust approach to the problem allows for a level of ambiguity considered around a reference distribution. In this work, we propose a novel formulation for the distributionally robust chance-constrained programming problem using an ambiguity set constructed from a variant of optimal transport distance that was developed for Gaussian Mixture Models. We show that for multimodal process uncertainty, our proposed method provides an effective way to incorporate statistical moment information into the ambiguity set construction step, thus leading to improved optimal solutions. We illustrate the performance of our method on a numerical example as well as a chemical process case study. We show that our proposed methodology leverages the multimodal characteristics from the uncertainty data to give superior performance over the traditional Wasserstein distance-based method.