An upper bound on the expectation of simplicial functions of multivariate random variables

DOI10.1007/BF01581191zbMath0765.90068OpenAlexW2150111433MaRDI QIDQ1194856

José H. Dulá

Publication date: 6 October 1992

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01581191

zbMATH Keywords

moment problemdominating sublinear functionexpectation of a sublinear function

Mathematics Subject Classification ID

Stochastic programming (90C15) Semi-infinite programming (90C34)

Related Items (4)

Designing a majorization scheme for the recourse function in two-stage stochastic linear programming ⋮ Second-order scenario approximation and refinement in optimization under uncertainty ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information

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