Exploiting Overlap Information in Chance-constrained Program with Random Right-hand Side

TL;DR

This paper improves solving chance-constrained programs with random right-hand sides by removing search tree overlaps through nonlinear constraints and dominance-based branching, leading to more efficient solutions.

Contribution

It introduces a novel approach to eliminate overlaps in the search tree using nonlinear constraints and dominance-based branching, enhancing MILP reformulation efficiency for CCPs.

Findings

Reduced search tree size significantly.

Improved solution efficiency demonstrated computationally.

Effective overlap removal techniques implemented.

Abstract

We consider the chance-constrained program (CCP) with random right-hand side under a finite discrete distribution. It is known that the standard mixed integer linear programming (MILP) reformulation of the CCP is generally difficult to solve by general-purpose solvers as the branch-and-cut search trees are enormously large, partly due to the weak linear programming relaxation. In this paper, we identify another reason for this phenomenon: the intersection of the feasible regions of the subproblems in the search tree could be nonempty, leading to a wasteful duplication of effort in exploring the uninteresting overlap in the search tree. To address the newly identified challenge and enhance the capability of the MILP-based approach in solving CCPs, we first show that the overlap in the search tree can be completely removed by a family of valid nonlinear if-then constraints, and then propose two practical approaches to tackle the highly nonlinear if-then constraints. In particular, we use the concept of dominance relations between different scenarios of the random variables, and propose a novel branching, called dominance-based branching, which is able to create a valid partition of the problem with a much smaller overlap than the classic variable branching. Moreover, we develop overlap-oriented node pruning and variable fixing techniques, applied at each node of the search tree, to remove more overlaps in the search tree. Computational results demonstrate the effectiveness of the proposed dominance-based branching with the overlap-oriented node pruning and variable fixing techniques in reducing the search tree size and improving the overall solution efficiency.