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)

Cited In (22)

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• An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
• Approximation from noisy data
• On the safe side of stochastic programming: bounds and approximations
• A multi-objective distributionally robust model for sustainable last mile relief network design problem
• Robust optimization with ambiguous stochastic constraints under mean and dispersion information
• MAD dispersion measure makes extremal queue analysis simple
• A distributionally robust analysis of the program evaluation and review technique
• Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
• Restricted recourse strategies for bounding the expected network recourse function
• Analyzing process flexibility: a distribution-free approach with partial expectations
• Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
• On the heavy-tail behavior of the distributionally robust newsvendor
• Bounding separable recourse functions with limited distribution information
• 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

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