Total variation bounds on the expectation of periodic functions with applications to recourse approximations (Q291034)

This article studies the lower and upper bounds of the expectation of periodic functions which depends on the probability density function variation of the underlying random variable. The article begins with a presentation of the background definitions, notation and useful properties of the lower and upper bounds of periodic functions. Then the authors introduce and describe the notions of total variation and packed densities which are necessary for the derivation of the bounds. In the third section, an exact derivation of the lower and upper bounds is presented with a proof which constitutes the core contribution of this paper. The authors then proceed to extend the results to the case of two-stage recourse models which involve both uncertainty and periodicity. A large number of relevant theorems are presented and proven in this section. The article concludes with a summary of the findings and an appendix containing the proofs of the lemmas.