Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency

This paper considers data-driven chance-constrained stochastic optimization problems in a Bayesian framework. Bayesian posteriors afford a principled mechanism to incorporate data and prior knowledge into stochastic optimization problems. However, the computation of Bayesian posteriors is typically...

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Veröffentlicht in:arXiv.org 2022-10
Hauptverfasser: Jaiswal, Prateek, Honnappa, Harsha, Rao, Vinayak A
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description This paper considers data-driven chance-constrained stochastic optimization problems in a Bayesian framework. Bayesian posteriors afford a principled mechanism to incorporate data and prior knowledge into stochastic optimization problems. However, the computation of Bayesian posteriors is typically an intractable problem, and has spawned a large literature on approximate Bayesian computation. Here, in the context of chance-constrained optimization, we focus on the question of statistical consistency (in an appropriate sense) of the optimal value, computed using an approximate posterior distribution. To this end, we rigorously prove a frequentist consistency result demonstrating the convergence of the optimal value to the optimal value of a fixed, parameterized constrained optimization problem. We augment this by also establishing a probabilistic rate of convergence of the optimal value. We also prove the convex feasibility of the approximate Bayesian stochastic optimization problem. Finally, we demonstrate the utility of our approach on an optimal staffing problem for an M/M/c queueing model.
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subjects Bayesian analysis
Computation
Computer Science - Learning
Consistency
Convergence
Mathematics - Optimization and Control
Mathematics - Statistics Theory
Optimization
Statistical analysis
Statistics - Methodology
Statistics - Theory
title Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency
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