An upper bound for SLP using first and total second moments

An upper bound for SLP using first and total second moments

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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:
Abstract:

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.

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