A Proximal DC Algorithm for Sample Average Approximation of Chance Constrained Programming

TL;DR

This paper introduces a proximal DC algorithm for solving sample average approximations of chance constrained programming problems, providing convergence guarantees and demonstrating competitive numerical performance.

Contribution

It reformulates the SAA of chance constraints into a DC program and develops a proximal DC algorithm with proven convergence and complexity results.

Findings

The proposed method converges to a KKT point.

The algorithm is computationally competitive with existing approaches.

Numerical experiments validate the effectiveness of the approach.

Abstract

Chance constrained programming (CCP) refers to a type of optimization problem with uncertain constraints that are satisfied with at least a prescribed probability level. In this work, we study the sample average approximation (SAA) of chance constraints. This is an important approach to solving CCP, especially in the data-driven setting where only a sample of multiple realizations of the random vector in the chance constraints is available. The SAA is obtained by replacing the underlying distribution with an empirical distribution over the available sample. Assuming that the functions in chance constraints are all convex, we reformulate the SAA of chance constraints into a difference-of-convex (DC) form. Moreover, considering that the objective function is a difference-of-convex function, the resulting formulation becomes a DC constrained DC program. Then, we propose a proximal DC algorithm for solving this reformulation. In particular, we show that the subproblems of the proximal DC are suitable for off-the-shelf solvers in some scenarios. Moreover, we not only prove the subsequential and sequential convergence of the proposed algorithm but also derive the iteration complexity for finding an approximate Karush-Kuhn-Tucker point. To support and complement our theoretical development, we show via numerical experiments that our proposed approach is competitive with a host of existing approaches.