On reduced semidefinite programs for second order moment bounds with applications (Q507337): Difference between revisions

The authors consider moment problems and study moment bounds on functions of random variables by developping a new semidefinite programming model. In particular, corresponding complexity results for the computation of the second order moment bound on the optimal value of a mixed-integer linear program are presented. Furthermore, a new polynomial time solvable semidefinite relaxation of the distributionally robust multi-item newsvendor problem is identified.

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+The authors consider moment problems and study moment bounds on functions of random variables by developping a new semidefinite programming model. In particular, corresponding complexity results for the computation of the second order moment bound on the optimal value of a mixed-integer linear program are presented. Furthermore, a new polynomial time solvable semidefinite relaxation of the distributionally robust multi-item newsvendor problem is identified.
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+Jan-Joachim Rückmann
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+6680639
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+https://doi.org/10.1007/s10107-016-1019-1
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On reduced semidefinite programs for second order moment bounds with applications (Q507337): Difference between revisions

Revision as of 02:37, 14 November 2024

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Mathematics(1 entry)