Article ID: | iaor19912126 |
Country: | Switzerland |
Volume: | 30 |
Start Page Number: | 267 |
End Page Number: | 276 |
Publication Date: | Mar 1991 |
Journal: | Annals of Operations Research |
Authors: | Kall P. |
In 1987, J. Dulá considered the problem of finding an upper bound for the expectation of a so-called ‘simplicial’ function of a random vector and used for this purpose first and total second moments. Under the same moment conditions the paper considers some different cases of ‘recourse’ functions and demonstrates how the related moment problems can be solved by solving nonsmooth (unconstrained) optimization problems and thereafter satisfying simple linear constraint systems.