{"id":24268,"date":"2025-07-18T09:31:51","date_gmt":"2025-07-18T01:31:51","guid":{"rendered":"https:\/\/cde.nus.edu.sg\/isem\/?p=24268"},"modified":"2025-07-18T09:39:14","modified_gmt":"2025-07-18T01:39:14","slug":"contextual-chance-constrained-prog","status":"publish","type":"post","link":"https:\/\/cde.nus.edu.sg\/isem\/2025\/07\/contextual-chance-constrained-prog\/","title":{"rendered":"Contextual Chance-Constrained Programs: A Non-Parametric Approach"},"content":{"rendered":"\n<h2>\n\t\tISEM Seminar Series\n\t<\/h2>\n\t<table>\n<tbody>\n<tr>\n<td>\n<p><strong>&#8220;Contextual Chance-Constrained Programs: A Non-Parametric Approach&#8221;<\/strong><\/p>\n<p><em>by<\/em><\/p>\n<strong>Li Jun<\/strong>\n<b>PhD student, Department of Industrial Systems Engineering &amp; Management<\/b>\nCollege of Design and Engineering, NUS\n<\/td>\n<\/tr>\n<tr>\n<td>22 July 2025 (Tuesday), 10.30am &#8211; 11.30am<br \/>\nVenue: E1-07-21\/22 &#8211; ISEM Executive Classroom<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\t<table>\n<tbody>\n<tr>\n<td width=\"765\">ABSTRACT\nChance-constrained programming (CCP), as an important class of optimization-under-uncertainty models, has been employed in many high-stakes decision-making problems. In this work, we study a contextual robust model of joint CCP with piece-wise convex constraints of uncertain coefficients and binary decision variables. To harness contextual information for boosting decision performance with appealing statistical guarantees, and to improve solution scalability, we develop a predictive ambiguity set that lifts an L-infinity optimal transport (OT) counterpart and houses a nonparametric kernel regression model. Under several regularity conditions, we show that the solution of the proposed lifted L-infinity-OT based contextual model remains feasible with high probability under the true distribution of uncertainty. Optimization-wise, we develop exact solution methods for the proposed framework, tailored to commonly used OT cost functions. These include a reformulation scheme of mixed-integer conic program that exploits linearization with derived valid inequalities, and a Benders decomposition scheme that exploits the decomposability of the lifted L-infinity-OT model to enhance the scalability. Finally, we validate the model&#8217;s robustness, the value of capturing contextual information, its finite-sample performance, and its computational efficiency through a redundancy allocation testing problem using both simulated and real-world datasets.<\/td>\n<\/tr>\n<tr>\n<td width=\"765\">PROFILE OF SPEAKER\nLi Jun is a Ph.D. candidate in the Department of Industrial Systems Engineering and Management, National University of Singapore, under the supervision of Prof. Ng Tsan Sheng, Adam. He obtained the Bachelor&#8217;s degree in Statistics from Southeast University and the Master&#8217;s degree in Management Science and Engineering from University of Chinese Academy of Sciences. His research interests include data-driven optimization and decision-making under uncertainty.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n","protected":false},"excerpt":{"rendered":"<p>by Li Jun<\/p>\n<p>PhD student<\/p>\n<p>Department of Industrial Systems Engineering &amp; Management, College of Design and Engineering, NUS<\/p>\n<p>22 July 2025<\/p>\n","protected":false},"author":310,"featured_media":24269,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"set","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[35,1],"tags":[41],"class_list":["post-24268","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-seminars","category-uncategorized","tag-student"],"acf":[],"_links":{"self":[{"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/posts\/24268","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/users\/310"}],"replies":[{"embeddable":true,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/comments?post=24268"}],"version-history":[{"count":2,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/posts\/24268\/revisions"}],"predecessor-version":[{"id":24271,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/posts\/24268\/revisions\/24271"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/media\/24269"}],"wp:attachment":[{"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/media?parent=24268"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/categories?post=24268"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/cde.nus.edu.sg\/isem\/wp-json\/wp\/v2\/tags?post=24268"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}