On reduced semidefinite programs for second order moment bounds with applications (Q507337)
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scientific article; zbMATH DE number 6680639
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On reduced semidefinite programs for second order moment bounds with applications |
scientific article; zbMATH DE number 6680639 |
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On reduced semidefinite programs for second order moment bounds with applications (English)
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3 February 2017
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The authors consider moment problems and study moment bounds on functions of random variables by developping a new semidefinite programming model. In particular, corresponding complexity results for the computation of the second order moment bound on the optimal value of a mixed-integer linear program are presented. Furthermore, a new polynomial time solvable semidefinite relaxation of the distributionally robust multi-item newsvendor problem is identified.
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moment bounds
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newsvendor
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random walk
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choice model
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