Safe Approximations for Distributionally Robust Joint Chance Constrained Program

Abstract

In this paper, we present a bilinear second-order cone programming safe approximation for the distributionally robust chance constrained program (DRCCP), assuming that the support of the uncertain parameters, and the first and second marginal moments of the probability with respect to the interval constraint imposed on the sum of the uncertain parameters are given. If we further know the covariance matrix, we can obtain a bilinear semi-definite programming safe approximation. Preliminary numerical tests indicate that the proposed models are competitive.