Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming

DOI10.1287/OPRE.25.2.315zbMATH Open0362.62014OpenAlexW2141951024MaRDI QIDQ4136313FDOQ4136313

Authors:

Publication date: 1977

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.25.2.315

Sequential statistical analysis (62L10) Characterization and structure theory of statistical distributions (62E10) Stochastic programming (90C15)

Cited In (30)

Two-stage stochastic standard quadratic optimization
Deterministic approximations of probability inequalities
Bounds on the value of information in uncertain decision problems II
Multistage stochastic programming: Error analysis for the convex case
The approximation of separable stochastic programs
On the safe side of stochastic programming: bounds and approximations
On the role of bounds in stochastic linear programming
Parallel processors for planning under uncertainty
Inequalities in completely convex stochastic programming
Restricted recourse strategies for bounding the expected network recourse function
Sublinear upper bounds for stochastic programs with recourse
New bounding and decomposition approaches for MILP investment problems: multi-area transmission and generation planning under policy constraints
Stochastic programming
Bounds in multi-horizon stochastic programs
Monotonic bounds in multistage mixed-integer stochastic programming
Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
Sequential Bounding Methods for Two-Stage Stochastic Programs
Bounding separable recourse functions with limited distribution information
Numerical aspects of monotone approximations in convex stochastic control problems
An upper bound on the expected value of a non-increasing convex function with convex marginal return functions
Optimal scheduling of income tax prepayments under stochastic incomes
STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
MINIMIZING MAKESPAN IN A MULTICLASS FLUID NETWORK WITH PARAMETER UNCERTAINTY
An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse
Implementing bounds-based approximations in convex-concave two-stage stochastic programming
Barycentric scenario trees in convex multistage stochastic programming
A pricing model for clearing end-of-season retail inventory
On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems
Aggregation bounds in stochastic linear programming
A hierarchy of bounds for stochastic mixed-integer programs

This page was built for publication: Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4136313)