An upper bound for SLP using first and total second moments

DOI10.1007/BF02204820zbMath0749.90055MaRDI QIDQ1178443

Peter Kall

Publication date: 26 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

moment problemnonsmooth optimizationupper bound for the expected recourse

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (8)

Total variation bounds on the expectation of periodic functions with applications to recourse approximations ⋮ Algorithms for the solution of stochastic dynamic minimax problems ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ An iterative algorithm to bound partial moments ⋮ Aggregation and discretization in multistage stochastic programming ⋮ Applying the minimax criterion in stochastic recourse programs ⋮ Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information ⋮ Convergent bounds for stochastic programs with expected value constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic programs with recourse: An upper bound and the related moment problem
• Bounds on the value of information in uncertain decision problems II
• Moments of non-negative mass
• A tight upper bound for the expectation of a convex function of a multivariate random variable
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
• Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
• The minimax approach to stochastic programming and an illustrative application
• The General Moment Problem, A Geometric Approach

This page was built for publication: An upper bound for SLP using first and total second moments