(273f) A Mixed-Integer Conic Programming Formulation for Computing the Flexibility Index Under Multivariate Gaussian Random Variables
In this work, we propose a scalable approach to compute the flexibility index for multivariate Gaussian variables. The Gaussian representation enables us to capture correlations. We show that the problem can be cast as a mixed-integer conic program (MICP) that seeks to find the largest radius of a hyperellipsoidal uncertainty set under which the system maintains feasible operation. We also prove that the radius can be directly related to the probability of feasible operation, which is precisely the definition of the stochastic flexibility index. Consequently, both indexes are equivalent in this case. The proposed approach can leverage the recent emergence of efficient MICP solvers .
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