More bounds on the expectation of a convex function of a random variable

DOI10.2307/3212616zbMATH Open0246.60011OpenAlexW2315735804MaRDI QIDQ5658871FDOQ5658871

Authors: Aharon Ben-Tal, Eithan Hochman 

Publication date: 1972

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3212616

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Axioms; other general questions in probability (60A05)

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• Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
• Bounding separable recourse functions with limited distribution information
• Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs
• An upper bound on the expectation of simplicial functions of multivariate random variables
• Distributionally robust equilibrium for continuous games: Nash and Stackelberg models
• Frameworks and results in distributionally robust optimization
• Approximation from Noisy Data
• Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information
• MAD Dispersion Measure Makes Extremal Queue Analysis Simple

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