Event Constrained Programming

TL;DR

This paper introduces event constraints as a flexible modeling framework for infinite-dimensional stochastic optimization, enabling probabilistic and logical constraint enforcement across various domains.

Contribution

It formulates event constraints within a generalized disjunctive programming framework and extends approximation techniques to improve solvability.

Findings

GDP representation enables logical event modeling.

Reformulation techniques reduce reliance on binary variables.

Case studies demonstrate applicability in power flow, disease control, and diffusion.

Abstract

In this paper, we present event constraints as a new modeling paradigm that generalizes joint chance constraints from stochastic optimization to (1) enforce a constraint on the probability of satisfying a set of constraints aggregated via application-specific logic (constituting an event) and (2) to be applied to general infinite-dimensional optimization (InfiniteOpt) problems (i.e., time, space, and/or uncertainty domains). This new constraint class offers significant modeling flexibility in posing InfiniteOpt constraints that are enforced over a certain portion of their domain (e.g., to a certain probability level), but can be challenging to reformulate/solve due to difficulties in representing arbitrary logical conditions and specifying a probabilistic measure on a collection of constraints. To address these challenges, we derive a generalized disjunctive programming (GDP) representation of event constrained optimization problems, which readily enables us to pose logical event conditions in a standard form and allows us to draw from a suite of GDP solution strategies that leverage the special structure of this problem class. We also extend several approximation techniques from the chance constraint literature to provide a means to reformulate certain event constraints without the use of binary variables. We illustrate these findings with case studies in stochastic optimal power flow, dynamic disease control, and optimal 2D diffusion.