Chebyshev inequalities for products of random variables

DOI10.1287/MOOR.2017.0888zbMATH Open1433.60011arXiv1605.05487OpenAlexW2395446352WikidataQ99152238 ScholiaQ99152238MaRDI QIDQ5219675FDOQ5219675

Authors: Napat Rujeerapaiboon, Daniel Kuhn, Wolfram Wiesemann 

Publication date: 12 March 2020

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

Abstract: We derive sharp probability bounds on the tails of a product of symmetric non-negative random variables using only information about their first two moments. If the covariance matrix of the random variables is known exactly, these bounds can be computed numerically using semidefinite programming. If only an upper bound on the covariance matrix is available, the probability bounds on the right tails can be evaluated analytically. The bounds under precise and imprecise covariance information coincide for all left tails as well as for all right tails corresponding to quantiles that are either sufficiently small or sufficiently large. We also prove that all left probability bounds reduce to the trivial bound 1 if the number of random variables in the product exceeds an explicit threshold. Thus, in the worst case, the weak-sense geometric random walk defined through the running product of the random variables is absorbed at 0 with certainty as soon as time exceeds the given threshold. The techniques devised for constructing Chebyshev bounds for products can also be used to derive Chebyshev bounds for sums, maxima and minima of non-negative random variables.

Full work available at URL: https://arxiv.org/abs/1605.05487

Recommendations

• On lower bounds for tail probabilities
• A CHEBYSHEV INEQUALITY FOR MULTIVARIATE NORMAL DISTRIBUTION
• Tight tail probability bounds for distribution-free decision making
• scientific article; zbMATH DE number 6385350
• The echelon Markov and Chebyshev inequalities

zbMATH Keywords

convex optimizationprobability boundsChebyshev inequalitydistributionally robust optimization

Mathematics Subject Classification ID

Convex programming (90C25) Inequalities; stochastic orderings (60E15) Semidefinite programming (90C22)

Cites Work

• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Title not available (Why is that?)
• A Survey of the S-Lemma
• On the Lambert \(w\) function
• Title not available (Why is that?)
• Robust optimization
• Title not available (Why is that?)
• Title not available (Why is that?)
• Duality in robust optimization: Primal worst equals dual best
• On sharpness of Tchebycheff-type inequalities
• On duality theory of conic linear problems.
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Generalized Chebyshev Bounds via Semidefinite Programming
• Title not available (Why is that?)
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Distributionally robust optimization and its tractable approximations
• The extrema of probability determined by generalized moments. I: Bounded random variables
• Title not available (Why is that?)
• Multivariate Chebyshev Inequalities
• On the exact distribution of linear combinations of order statistics from dependent random variables
• Optimal uncertainty quantification
• Title not available (Why is that?)
• Characterizations of probability distributions by properties of products of random variables
• On Generalizations of Tchebychef's Inequality
• Distributionally Robust Convex Optimization
• A distributionally robust perspective on uncertainty quantification and chance constrained programming

Cited In (11)

• Tight tail probability bounds for distribution-free decision making
• Distributionally Robust Chance Constrained Geometric Optimization
• Chebyshev's inequality for Hilbert-space-valued random elements
• Notes on the Chernoff product formula
• The Discrete Moment Problem with Nonconvex Shape Constraints
• Games with distributionally robust joint chance constraints
• Distributionally robust optimization. A review on theory and applications
• Optimal bounds and practical insights: Cantelli's inequality revisited
• A probabilistic variant of Chernoff's product formula
• A Gaussian expectation product inequality
• Frameworks and results in distributionally robust optimization

Uses Software

• SDPT3
• YALMIP
• ROME

This page was built for publication: Chebyshev inequalities for products of random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5219675)