Tight Bound for Sum of Heterogeneous Random Variables: Application to Chance Constrained Programming

Abstract: We study a tight Bennett-type concentration inequality for sums of heterogeneous and independent variables, defined as a one-dimensional minimization. We show that this refinement, which outperforms the standard known bounds, remains computationally tractable: we develop a polynomial-time algorithm to compute confidence bounds, proved to terminate with an epsilon-solution. From the proposed inequality, we deduce tight distributionally robust bounds to Chance-Constrained Programming problems. To illustrate the efficiency of our approach, we consider two use cases. First, we study the chance-constrained binary knapsack problem and highlight the efficiency of our cutting-plane approach by obtaining stronger solution than classical inequalities (such as Chebyshev-Cantelli or Hoeffding). Second, we deal with the Support Vector Machine problem, where the convex conservative approximation we obtain improves the robustness of the separation hyperplane, while staying computationally tractable.