A Conic Programming Approach to Generalized Tchebycheff Inequalities
نویسندگان
چکیده
Consider the problem of finding optimal bounds on the expected value of piece-wise polynomials over all measures with a given set of moments. This is a special class ofGeneralized Tchebycheff Inequalities in probability theory. We study this problem within the framework of conic programming. Relying on a general approximation scheme for conic programming, we show that these bounds can be numerically computed or approximated via semidefinite programming. We also describe some applications of this class of Generalized Tchebycheff Inequalities in probability, finance, and inventory theory. GSIA Working Paper 2003-01 ∗Supported by NSF grants CCR-0092655 and DMI-0098427. ([email protected]) †Supported by NSF grant CCR-0092655. ([email protected])
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عنوان ژورنال:
- Math. Oper. Res.
دوره 30 شماره
صفحات -
تاریخ انتشار 2005