4.29 Maximizing probability of satisfying a linear inequality. Let c be a random variable in
R
n
, normally distributed with mean ¯c and covariance matrix R. Consider the problem
maximize prob(c
T
x ≥ α)
subject to F x g, Ax = b.
Find the conditions under which this is equivalent to a convex or quasiconvex optimiza-
tion problem. When these conditions hold, formulate the problem as a QP, QCQP, or
SOCP (if the problem is convex), or explain how you can solve it by solving a sequence
of QP, QCQP, or SOCP feasibility problems (if the problem is quasiconvex).
Solution. Define u = c
T
x, a scalar random variable, normally distributed with mean
E u = ¯c
T
x and variance E(u − E u)
2
= x
T
Rx. The random variable
u − ¯c
T
x
√
x
T
Rx
has a normal distribution with mean zero and unit variance, so
prob(u ≥ α) = prob
u − ¯c
T
x
√
x
T
Rx
≥
α − ¯c
T
x
√
x
T
Rx
!
= 1 − Φ
α − ¯c
T
x
√
x
T
Rx
!
,
where Φ(z) =
1
√
2π
R
z
−∞
e
−t
2
/2
dt is the standard normal CDF.
To maximize prob(u ≥ α), we can minimize (α −¯c
T
x)/
√
x
T
Rx (since Φ is increasing),
i.e., solve the problem
maximize (¯c
T
x − α)/
√
x
T
Rx
subject to F x g
Ax = b.
(1)
This is not a convex optimization problem, since the objective is not concave.
The problem can, however, be solved by quasiconvex optimization provided a condtion
holds. (We’ll derive the condition below.) The objective exceeds a value t if and only
if
¯c
T
x − α ≥ t
√
x
T
Rx
holds. This last inequality is convex, in fact a second-order cone constraint, provided
t ≥ 0. So now we can state the condition: There exists a feasible x for which ¯c
T
x ≥ α.
(This condition is easily checked as an LP feasibility problem.) This condition, by the
way, can also be stated as: There exists a feasible x for which prob(u ≥ α) ≥ 1/2.
Assume that this condition holds. This means that the optimal value of our original
problem is at least 0.5, and the optimal value of the problem (1) is at least 0. This
means that we can state our problem as
maximize t
subject to F x g, Ax = b
¯c
T
x − α ≥ t
√
x
T
Rx,
4