Second-Order Lower Bounds on the Expectation of a Convex Function
نویسندگان
چکیده
We develop a class of lower bounds on the expectation of a convex function. The bounds utilize the first two moments of the underlying random variable, whose support is contained in a bounded interval or hyperrectangle. Our bounds have applications to stochastic programs whose random parameters are known only through limitedmoment information. Computational results are presented for two-stage stochastic linear programs.
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عنوان ژورنال:
- Math. Oper. Res.
دوره 30 شماره
صفحات -
تاریخ انتشار 2005