An upper bound on the expected value of a non-increasing convex function with convex marginal return functions

DOI10.1016/0167-6377(95)00055-0zbMath0855.90098OpenAlexW2055848066MaRDI QIDQ1919193

Christopher J. Donohue, John R. Birge

Publication date: 1 August 1996

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(95)00055-0

zbMATH Keywords

effective upper boundapproximation for stochastic programmingconvex marginal return functions

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

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Cites Work

• Sublinear upper bounds for stochastic programs with recourse
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• A tight upper bound for the expectation of a convex function of a multivariate random variable
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• A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
• Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
• Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming