Generalized Gauss inequalities via semidefinite programming
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The authors consider the problem of the estimating bounds for the probability of a random vector to fall outside a polytope. A special assumption made by the authors is the unimodality of the density of the distribution of random vectors. It is shown, by using the concepts from Choquet theory, that both the Chebyshev and Gauss bounds can be obtained via semidefinite programming.
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- scientific article; zbMATH DE number 6385350
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- 10.1162/153244303321897726
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- scientific article; zbMATH DE number 193483 (Why is no real title available?)
- scientific article; zbMATH DE number 729680 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
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- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
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Cited in
(29)- Global probability maximization for a Gaussian bilateral inequality in polynomial time
- Ambiguous risk constraints with moment and unimodality information
- Distributionally robust expectation inequalities for structured distributions
- Sharp upper and lower bounds for maximum likelihood solutions to random Gaussian bilateral inequality systems
- Distributionally robust optimization. A review on theory and applications
- A multivariate Chebyshev bound of the Selberg form
- Bootstrap robust prescriptive analytics
- Frameworks and results in distributionally robust optimization
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- Two-sided probability bound for a symmetric unimodal random variable
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Distributionally robust chance constraint with unimodality-skewness information and conic reformulation
- Tight tail probability bounds for distribution-free decision making
- Data-driven chance constrained stochastic program
- Grothendieck inequalities for semidefinite programs with rank constraint
- Generalized Chebyshev Bounds via Semidefinite Programming
- Distributionally robust optimization with principal component analysis
- Worst-case range value-at-risk with partial information
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Moment Problem and Its Applications to Risk Assessment
- A Conic Programming Approach to Generalized Tchebycheff Inequalities
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Distributionally robust optimization using optimal transport for Gaussian mixture models
- A positive semidefinite safe approximation of multivariate distributionally robust constraints determined by simple functions
- Distributionally robust optimization
- Efficient data-driven optimization with noisy data
- Learning and decision-making with data : optimal formulations and phase transitions
- Minimax linear estimation with the probability criterion under unimodal noise and bounded parameters
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