Second-order lower bounds on the expectation of a convex function

Second-order lower bounds on the expectation of a convex function

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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: ,
Keywords: programming: convex, programming: linear
Abstract:

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.

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