On reduced semidefinite programs for second order moment bounds with applications (Q507337)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On reduced semidefinite programs for second order moment bounds with applications |
scientific article |
Statements
On reduced semidefinite programs for second order moment bounds with applications (English)
0 references
3 February 2017
0 references
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.
0 references
moment bounds
0 references
newsvendor
0 references
random walk
0 references
choice model
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
