WIAS Preprint No. 2550, (2018)

Joint model of probabilistic-robust (probust) constraints with application to gas network optimization



Authors

  • Adelhütte, Dennis
  • Aßmann, Denis
  • González Grandón, Tatiana
  • Gugat, Martin
  • Heitsch, Holger
  • Henrion, René
  • Liers, Frauke
  • Nitsche, Sabrina
  • Schultz, Rüdiger
  • Stingl, Michael
  • Wintergerst, David

2010 Mathematics Subject Classification

  • 90B15 90C15 90C26 93D15 93D21

Keywords

  • Stabilization, wave equation, feedback, robust optimization, probabilistic constraints, probust, Karhunen-Loève

DOI

10.20347/WIAS.PREPRINT.2550

Abstract

Optimization problems under uncertain conditions abound in many real-life applications. While solution approaches for probabilistic constraints are often developed in case the uncertainties can be assumed to follow a certain probability distribution, robust approaches are usually applied in case solutions are sought that are feasible for all realizations of uncertainties within some predefined uncertainty set. As many applications contain different types of uncertainties that require robust as well as probabilistic treatments, we introduce a class of joint probabilistic/robust constraints. Focusing on complex uncertain gas network optimization problems, we show the relevance of this class of problems for the task of maximizing free booked capacities in an algebraic model for a stationary gas network. We furthermore present approaches for finding their solution. Finally, we study the problem of controlling a transient system that is governed by the wave equation. The task consists in determining controls such that a certain robustness measure remains below some given upper bound with high probability.

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