Upper bounds on the expected value of a convex function using gradient and conjugate function information

Upper bounds on the expected value of a convex function using gradient and conjugate function information

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Article ID: iaor1990279
Country: United States
Volume: 14
Issue: 4
Start Page Number: 745
End Page Number: 759
Publication Date: Nov 1989
Journal: Mathematics of Operations Research
Authors: ,
Keywords: gradient methods
Abstract:

New upper bounds are given for the expected value of a convex function. The bounds employ subgradient information and the conjugate function. In contrast to most other bounds, explicit moment information is not needed. The authors derive the bounds and compare them with previous bounds with different information requirements.

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