Montag, 13. Juni 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"Ambiguous Joint Chance Constraints under Mean and Dispersion Information"

Speaker: Daniel Kuhn (EPFL Lausanne)

Lecture Hall 12 OMP1 (2nd Floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna


We study joint chance constraints where the distribution of the uncertain parameters is only known to belong to an ambiguity set characterized by the mean and support of the uncertainties and by an upper bound on their dispersion. This setting gives rise to pessimistic (optimistic) ambiguous chance constraints, which require the corresponding classical chance constraints to be satisfied for every (for at least one) distribution in the ambiguity set. We provide tight conditions under which pessimistic and optimistic joint chance constraints are computationally tractable, and we show numerical results that illustrate the power of our tractability results.

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Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651