On Solving Chance-Constrained Models with Gaussian Mixture Distribution

Abstract: We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer approximations of the chance constraint based on piecewise linear approximations of the standard normal cumulative density function. We show that $O\left(\sqrt{\ln(1/τ)/τ} \right)$ pieces are sufficient to attain $τ$-accuracy in the chance constraint. We also show that any desired optimality gap can be achieved under a constraint qualification condition by controlling the approximation accuracy. Extensive computations using a commercial solver show that problems with up to one thousand random coefficients specified with up to fifteen Gaussian mixture components, generated under diverse settings, can be solved to near optimality within 18 hours, while satisfying chance constraint satisfaction probabilities of up to $0.999$. The solution times are significantly lower for problems with fewer random coefficients and mixture terms. For example, problems with one hundred random coefficients, ten mixture terms, and a constraint satisfaction probability of $0.999$ can be solved in a minute or less. Sample average approximations fail to provide meaningful solutions even for the smaller problems.