Probability Contour Constrained Optimization and A Data-based Solution Paradigm

This paper solves a new class of optimization problems under uncertainty which optimizes an objective function of decision variables and subjects to a set of probability contour constraints (PCC). The proposed PCC logically means that an optimal solution should satisfy a set of algebraic constraints for all possible high-probability realizations of the uncertain parameters. The PCC is an alternative to the conventional chance constraint while the latter cannot guarantee the solution's feasibility to high-probability realizations of uncertainty. Given that the existing solution methods of the conventional chance-constrained optimization are not suitable for solving the proposed probability contour constrained optimization (PCCO), we develop a novel data-based solution paradigm that uses historical measurements of the uncertain parameters as input samples. This solution paradigm is conceptually simple and allows us to develop effective data-reduction schemes which reduces computational burden while reserves high accuracy.
Comment: 26 pages