Higher-moment buffered probability
In stochastic optimization, probabilities naturally arise as cost functionals and chance constraints. Unfortunately, these functions are difficult to handle both theoretically and computationally. The buffered probability of failure and its subsequent extensions were developed as numerically tractable, conservative surrogates for probabilistic computations. In this manuscript, we introduce the higher-moment buffered probability. Whereas the buffered probability is defined using the Conditional Value-at-Risk, the higher-moment buffered probability is defined using Higher-Moment Coherent Risk measures. In this way, the higher-moment buffered probability encodes information about the magnitude of tail moments, not simply the tail average. We prove that the higher-moment buffered probability is closed, monotonic, quasi-convex and can be computed by solving a smooth one-dimensional convex optimization problem. These properties enable smooth reformulations of both higher-moment buffered probability cost functionals and constraints.
- Research Organization:
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
- Sponsoring Organization:
- Defense Advanced Research Projects Agency (DARPA); USDOE
- Grant/Contract Number:
- AC04-94AL85000
- OSTI ID:
- 1497635
- Report Number(s):
- SAND-2019-2008J; 672842
- Journal Information:
- Optimization Letters, Vol. 13, Issue 6; ISSN 1862-4472
- Publisher:
- Springer NatureCopyright Statement
- Country of Publication:
- United States
- Language:
- English
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