Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information

Event Sponsor: 
Mathmatics and Computer Science Division Seminar - LANS
Start Date: 
Aug 1 2018 - 10:30am
Building 240/Room 4301
Argonne National Laboratory
Siqian Shen
Speaker(s) Title: 
University of Michigan

We consider chance-constrained binary programs, where each row of the inequalities that involve uncertainty needs to be satisfied probabilistically. Only the information of the mean and covariance matrix is available, and we solve distributionally robust chance-constrained binary programs (DCBP). Using two different ambiguity sets, we equivalently reformulate the DCBPs as 0-1 second- order cone (SOC) programs. We further exploit the submodularity of 0-1 SOC constraints under special and general covariance matrices, and utilize the submodularity as well as lifting to derive extended polymatroid inequalities to strengthen the 0-1 SOC formulations. We incorporate the valid inequalities in a branch-and-cut algorithm for efficiently solving DCBPs. We demonstrate the computational efficacy and solution performance using diverse instances of a chance-constrained bin packing problem.

Siqian Shen is an Associate Professor of Industrial and Operations Engineering at the University of Michigan and also serves as an Associate Director in the Michigan Institute for Computational Discovery & Engineering (MICDE). She obtained a B.S. degree from Tsinghua University in 2007 and Ph.D. from the University of Florida in 2011. Her theoretical research interests are in integer programming, stochastic/robust optimization, and network optimization. Applications include optimization and risk analysis of energy, healthcare, cloud-computing, and transportation systems. Her work has been supported by the National Science Foundation, Army Research Office, Department of Energy, DiDi ChuXing, IBM, and P&G. She has received INFORMS Computing Society Best Student Paper award (runner-up), IIE Pritsker Doctoral Dissertation Award (1st Place), IBM Smarter Planet Innovation Faculty Award, and Department of Energy (DoE) Early Career Award.

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July 25, 2018, "SASSy Part I" LANS Summer Students
August 1, 2018, "Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information" Siqian Shen, Associate Professor, Department of Industrial & Operations Engineering, University of Michigan
August 8, 2018, "SASSy Part II" LANS Summer Students
August 15, 2018, "TBA" Wissam M. Sid-Lakhdar, Postdoctoral Fellow, LBNL
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