Article ID: | iaor20061423 |
Country: | United States |
Volume: | 30 |
Issue: | 3 |
Start Page Number: | 662 |
End Page Number: | 677 |
Publication Date: | Aug 2005 |
Journal: | Mathematics of Operations Research |
Authors: | Morton David P., Dokov Steftcho P. |
Keywords: | programming: convex, programming: linear |
We develop a class of lower bounds on the expectation of a convex function. The bounds utilize the first two moments of the underlying random variable, whose support is contained in a bounded interval or hyperrectangle. Our bounds have applications to stochastic programs whose random parameters are known only through limited-moment information. Computational results are presented for two-stage stochastic linear programs.