On Multivariate Discrete Moment Problems and Their Applications to Bounding Expectations and Probabilities

DOI10.1287/MOOR.1030.0064MaRDI QIDQ5704169zbMATH OpenOpenAlexFDO

Authors Gergely Mádi-Nagy, András Prékopa

Publication date 11 November 2005

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/26936a4625a140b6be2380dfde89b77969f0df90

zbMATH Keywords

discrete moment problem, multivariate Lagrange interpolation, linear programming, expectation bounds, probability bounds

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Linear programming (90C05) Characterization and structure theory of statistical distributions (62E10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

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(15)

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• Computing bounds for the probability of the union of events by different methods
• Multivariate discrete moment problems and their applications
• Inequalities on expectations based on the knowledge of multivariate moments
• A class of multiattribute utility functions
• Convexity and solutions of stochastic multidimensional 0-1 knapsack problems with probabilistic constraints
• Polynomial bases on the numerical solution of the multivariate discrete moment problem
• Robust newsvendor problems: effect of discrete demands
• The discrete moment problem with fractional moments
• A randomized method for handling a difficult function in a convex optimization problem, motivated by probabilistic programming
• Discrete moment problems with distributions known to be unimodal
• Bounding expectations of functions of random vectors with given marginals and some moments: applications of the multivariate discrete moment problem

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