Distributionally robust polynomial chance-constraints under mixture ambiguity sets
Given $\mathrm{X}\subset\mathbb{R}^n, ε \in (0,1)$, a parametrized family of probability distributions $(μ_a)_{a\in \mathrm{A}}$ on $\mathrm{Ω}\subset \mathbb{R}^p$, we consider the feasible set $\mathrm{X}^*_ε \subset\mathrm{X}$ associated with the distributionally robust chance-constraint $\mathrm{X}^*_ε = \mathrm{x \in X : Prob}_μ[f(\mathrm{x}, ω) >0] > 1 - ε, \forall μ \in \mathscr{M}_{\mathrm{a}}$}, where $\mathscr{M}_{\mathrm{a}}$ is the set of all possibles mixtures of distributions $μ_{\mathrm{a}}, \mathrm{a \in A}$. For instance and typically, the family $\mathscr{M}_{\mathrm{a}}$ is the set of all mixtures of Gaussian distributions on $\mathbb{R}$ with mean and standard deviation $\mathrm{a}=(a,σ)$ in some compact set $\mathrm{A}\subset \mathbb{R}^2$. We provide a sequence of inner approximations $\mathrm{X}^d_ε = {\mathrm{x \in X} : w_d(\mathrm{x}) < ε}, d \in \mathbb{N}$, where $w_d$ is a polynomial of degree d whose vector of coefficients is an optimal solution of a semidefinite program. The size of the latter increases with the degree d. We also obtain the strong and highly desirable asymptotic guarantee that $λ(\mathrm{X}^*_ε$\$\mathrm{X}^d_ε$) → 0 as d increases, where λ is the Lebesgue measure on X. Same results are also obtained for the more intricated case of distributionally robust “joint” chance-constraints. Finally, there is a price to pay for this strong asymptotic guarantee which is the scalability of such a numerical scheme, and so far this important drawback makes it limited to problems of modest dimension.