An upper bound on the expectation of simplicial functions of multivariate random variables
type: Item
instance of: scholarly article
title: An upper bound on the expectation of simplicial functions of multivariate random variables
zbMATH Open document ID: 0765.90068
DOI: 10.1007/BF01581191
author: José H. Dulá
published in: Mathematical Programming. Series A. Series B
publication date: 1992-10-06T00:00:00Z
review text: Using a certain moment problem, an upper bound on the expectation of a sublinear function \(\psi(z)\) on \(\mathbb{R}^ n\) is constructed by finding an upper bound on the expectation of a dominating sublinear function \(\phi\) of the type \(\phi(z)=\max\{c^{(i)'} z: 1\leq i\leq n+1\}\), where \(c^{(1)},\dots,c^{(n+1)}\) are affinely independent \(n\)-vectors.
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C34
zbMATH DE Number: 68713
zbMATH Keywords: moment problem
zbMATH Keywords: expectation of a sublinear function
zbMATH Keywords: dominating sublinear function
reviewed by: Kurt Marti
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf01581191
OpenAlex ID: W2150111433
description: scientific article; zbMATH DE number 68713