Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
From MaRDI portal
Publication:3263123
DOI10.1214/AOMS/1177706203zbMath0090.11203OpenAlexW2130968988WikidataQ92562191 ScholiaQ92562191MaRDI QIDQ3263123
Publication date: 1959
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177706203
Related Items (43)
Bounds in multi-horizon stochastic programs ⋮ On the binomial tree method and other issues in connection with pricing Bermudan and American options ⋮ Total variation bounds on the expectation of periodic functions with applications to recourse approximations ⋮ An arc-exchange decomposition method for multistage dynamic networks with random arc capacities ⋮ STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION ⋮ An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information ⋮ MINIMIZING MAKESPAN IN A MULTICLASS FLUID NETWORK WITH PARAMETER UNCERTAINTY ⋮ Sequential Bounding Methods for Two-Stage Stochastic Programs ⋮ Solving many linear programs that differ only in the right-hand side ⋮ Instrumental variable estimation based on grouped data ⋮ Multilinear approximation on rectangles and the related moment problem ⋮ Regressor and random‐effects dependencies in multilevel models ⋮ Sublinear upper bounds for stochastic programs with recourse ⋮ Second-order scenario approximation and refinement in optimization under uncertainty ⋮ Restricted recourse strategies for bounding the expected network recourse function ⋮ An upper bound on the expected value of a non-increasing convex function with convex marginal return functions ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk ⋮ A piecewise linear upper bound on the network recourse function ⋮ Nota sobre programacion lineal estocastica: Evolucion y estado actual. (I) ⋮ Management of non-maturing deposits by multistage stochastic programming ⋮ A hierarchy of bounds for stochastic mixed-integer programs ⋮ Robust unsupervised domain adaptation for neural networks via moment alignment ⋮ Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs ⋮ Bounding separable recourse functions with limited distribution information ⋮ Reducing Conservatism in Robust Optimization ⋮ An upper bound on the expectation of simplicial functions of multivariate random variables ⋮ Robust two-stage stochastic linear optimization with risk aversion ⋮ Bounding multi-stage stochastic programs from above ⋮ Bounds on the value of information in uncertain decision problems II ⋮ Monotonic bounds in multistage mixed-integer stochastic programming ⋮ Analyzing process flexibility: a distribution-free approach with partial expectations ⋮ Levinson's type generalization of the Edmundson-Lah-Ribarič inequality ⋮ Reserval of the Lyapunov, Hölder, and Minkowski inequalities and other extensions of the Kantorovich inequality ⋮ Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information ⋮ The discrete moment problem and linear programming ⋮ Parallel processors for planning under uncertainty ⋮ The minimax approach to stochastic programming and an illustrative application ⋮ A tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functions ⋮ On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems ⋮ Multiperiod portfolio optimization with terminal liability: bounds for the convex case ⋮ Generalized adaptive partition-based method for two-stage stochastic linear programs with fixed recourse ⋮ Restricted Bayes strategies for convex stochastic programs
This page was built for publication: Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
