How to calculate normal distribution CDF where the mean and variance is linear combination of decision variables?

Answered

Ye Liu

• August 01, 2022 16:45
• Edited

Hi,

I wanted to express a constraint where the reward is calculated as a normal distribution CDF, and the upper bound, mean, and variance are linear expressions of some decision variables.

• 1) PDF = normal distribution's probability density function
• 2) CDF = the integration of the defined PDF, the lower bound is -inf, the upper bound, mean, and variance are linear expressions of decision vars.

Please see the following code:

                def PDF (x, mu, sigma):
                    return 1/(sigma * (2.0 * math.pi)**(1/2))* math.exp(-1/2*((x-mu)/sigma)**2)
                def CDF(ub, mu, sigma):
                    lb = - math.inf
                    value = integrate.quad(PDF, lb, ub, args=(mu, sigma)) 
                    return value
                
     when I try to implement  

CDF(0.95*R_ML0[0], P[0,0]*(y2_ML0[0]+(1-alpha)*y1_ML0[0]), 100),

where R_ML[0], y2_ML0[0], y1_ML0[0] are decision vars, it gave me:

gurobipy.LinExpr.__richcmp__

NotImplementedError

    Really appreciate if anyone can help me!!!

Best,

Ye

0

• 

  Mario Ruthmair

  Gurobi Staff

  • August 02, 2022 08:44

  Hi Ye,

  Gurobi variables cannot be directly used in arbitrary math functions, you have to use general constraints to deal with non-linear/non-quadratic terms. You might need to re-formulate your function and/or introduce helper variables to be able to use the general constraints.
  Note that complex function constraints are approximated by piecewise linear functions.

  Best regards,
  Mario

  0
• 

  Ye Liu

  • August 03, 2022 15:49
  • Edited

  

  

  

  Thanks Mario for you reply! 

  Did you know by any chance the approximation of normal distribution? I have been looking it up and found all of them involve division. Since Gurobi cannot divide decision variables, I guess there is no way to formulate the model..

  Also, did you know if Gurobi can control the number of violated constraints? For example, I have 100 constraints, I want to optimize as long as any 99 of the constraints are satisfied. 

  Thanks,

  Ye

   

  0
• 

  Mario Ruthmair

  Gurobi Staff

  • August 05, 2022 15:39

  Hi Ye,

  Sorry, I am not too much into the theory of normal distributions.

  Regarding modeling divisions: Sometimes, the divisions can be reformulated such that they can be handled in Gurobi. For example, by introducing an artificial variable z and an according equation: a / b = z. This can be reformulated to a = z * b.

  What you could do is to use the feasibility relaxation, but it is not obvious how to control the number of violated constraints with this. Alternatively, you can model this manually, e.g., by introducing a slack variable for each of the constraints modeling the amount of violation. Then, you create an SOS1 constraint with those slack variables, stating that at most 1 of those variables is allowed to be non-zero.

  Best regards,
  Mario

  0

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