On reduced semidefinite programs for second order moment bounds with applications
type: Item
instance of: scholarly article
title: On reduced semidefinite programs for second order moment bounds with applications
zbMATH Open document ID: 1360.90191
author: Karthik Natarajan
author: Chung-Piaw Teo
published in: Mathematical Programming. Series A. Series B
publication date: 2017-02-03T00:00:00Z
review text: 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.
reviewed by: Jan-Joachim Rückmann
Mathematics Subject Classification ID: 90C22
Mathematics Subject Classification ID: 90C11
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6680639
zbMATH Keywords: moment bounds
zbMATH Keywords: newsvendor
zbMATH Keywords: random walk
zbMATH Keywords: choice model
describes a project that uses: SDPT3
describes a project that uses: YALMIP
MaRDI profile type: Publication
full work available at URL: s10107-016-1019-1
OpenAlex ID: W2344697147
Wikidata QID: Q92715107
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DBLP publication ID: journals/mp/NatarajanT17
DOI: 10.1007/S10107-016-1019-1
description: scientific article; zbMATH DE number 6680639