Chebyshev Inequalities for Products of Random Variables

DOI10.1287/moor.2017.0888zbMath1433.60011arXiv1605.05487OpenAlexW2395446352WikidataQ99152238 ScholiaQ99152238MaRDI QIDQ5219675

Daniel Kuhn, Napat Rujeerapaiboon, Wolfram Wiesemann

Publication date: 12 March 2020

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

Full work available at URL: https://arxiv.org/abs/1605.05487

zbMATH Keywords

convex optimizationprobability boundsChebyshev inequalitydistributionally robust optimization

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Semidefinite programming (90C22) Convex programming (90C25)

Related Items (6)

Frameworks and results in distributionally robust optimization ⋮ Tight tail probability bounds for distribution-free decision making ⋮ Games with distributionally robust joint chance constraints ⋮ Distributionally robust optimization. A review on theory and applications ⋮ The Discrete Moment Problem with Nonconvex Shape Constraints ⋮ Distributionally Robust Chance Constrained Geometric Optimization

Uses Software

• SDPT3
• YALMIP
• ROME

Cites Work

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• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Multivariate Chebyshev Inequalities
• A Survey of the S-Lemma

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