Useful Bounds on the Expected Maximum of Correlated Normal Variables

We compute useful upper and lower bounds on the expected maximum of up to a few hundred correlated Normal variables with arbitrary means and variances. Two types of bounding processes are used: perfectly dependent Normal variables, and independent Normal variables, both with arbitrary mean values. The expected maximum for the perfectly dependent variables can be evaluated in closed form; for the independent variables, a single numerical integration is required. Higher moments are also available. We use mathematical programming to find parameters for the processes, so they will give bounds on the expected maximum, rather than approximations of unknown accuracy. Our original application is to the maximum number of people on-line simultaneously during the day in an infinite-server queue with a time-varying arrival rate. The upper and lower bounds are tighter than previous bounds, and in many of our examples are within 5 percent of each other. Subject Classifications: Probability: bounds. Queues: Nonstationary.