Bounds on the Expectation of a Convex Function of a Multivariate Random Variable

From MaRDI portal
Publication:3263123

DOI10.1214/aoms/1177706203zbMath0090.11203OpenAlexW2130968988WikidataQ92562191 ScholiaQ92562191MaRDI QIDQ3263123

Albert Madansky

Publication date: 1959

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177706203




Related Items

Bounds in multi-horizon stochastic programsOn the binomial tree method and other issues in connection with pricing Bermudan and American optionsTotal variation bounds on the expectation of periodic functions with applications to recourse approximationsAn arc-exchange decomposition method for multistage dynamic networks with random arc capacitiesSTOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATIONAn approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD informationMINIMIZING MAKESPAN IN A MULTICLASS FLUID NETWORK WITH PARAMETER UNCERTAINTYSequential Bounding Methods for Two-Stage Stochastic ProgramsSolving many linear programs that differ only in the right-hand sideInstrumental variable estimation based on grouped dataMultilinear approximation on rectangles and the related moment problemRegressor and random‐effects dependencies in multilevel modelsSublinear upper bounds for stochastic programs with recourseSecond-order scenario approximation and refinement in optimization under uncertaintyRestricted recourse strategies for bounding the expected network recourse functionAn upper bound on the expected value of a non-increasing convex function with convex marginal return functionsOn the safe side of stochastic programming: bounds and approximationsConvex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-riskA piecewise linear upper bound on the network recourse functionNota sobre programacion lineal estocastica: Evolucion y estado actual. (I)Management of non-maturing deposits by multistage stochastic programmingA hierarchy of bounds for stochastic mixed-integer programsRobust unsupervised domain adaptation for neural networks via moment alignmentGuaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization ProgramsBounding separable recourse functions with limited distribution informationReducing Conservatism in Robust OptimizationAn upper bound on the expectation of simplicial functions of multivariate random variablesRobust two-stage stochastic linear optimization with risk aversionBounding multi-stage stochastic programs from aboveBounds on the value of information in uncertain decision problems IIMonotonic bounds in multistage mixed-integer stochastic programmingAnalyzing process flexibility: a distribution-free approach with partial expectationsLevinson's type generalization of the Edmundson-Lah-Ribarič inequalityReserval of the Lyapunov, Hölder, and Minkowski inequalities and other extensions of the Kantorovich inequalityRobust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion InformationThe discrete moment problem and linear programmingParallel processors for planning under uncertaintyThe minimax approach to stochastic programming and an illustrative applicationA tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functionsOn a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problemsMultiperiod portfolio optimization with terminal liability: bounds for the convex caseGeneralized adaptive partition-based method for two-stage stochastic linear programs with fixed recourseRestricted Bayes strategies for convex stochastic programs