BOUNDS ON EXPECTATION OF A CONVEX FUNCTION OF A RANDOM VARIABLE - WITH APPLICATIONS TO STOCHASTIC PROGRAMMING

被引：54

作者：

HUANG, CC

ZIEMBA, WT

BENTAL, A

机构：

[1] UNIV BRITISH COLUMBIA,VANCOUVER,BC,CANADA

[2] MEMORIAL UNIV NEWFOUNDLAND,ST JOHNS,NEWFOUNDLAND,CANADA

[3] TECHNION ISRAEL INST TECHNOL,HAIFA,ISRAEL

来源：

OPERATIONS RESEARCH | 1977年 / 25卷 / 02期

关键词：

D O I：

10.1287/opre.25.2.315

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：315 / 325

页数：11

共 13 条

[1]

APOSTOL TM, 1967, MATHEMATICAL ANALYSI

[2] MORE BOUNDS ON EXPECTATION OF A CONVEX FUNCTION OF A RANDOM VARIABLE [J].

BENTAL, A ;

HOCHMAN, E .

JOURNAL OF APPLIED PROBABILITY, 1972, 9 (04) :803-812

[3]

BENTAL A, 1971, THESIS U TEL AVIV

[4]

BENTAL A, 1975, WP280 U BRIT COL FAC

[5]

BEREANU B, 1973, NUMERISCHE METHODEN

[6] SHARP BOUNDS ON VALUE OF PERFECT INFORMATION [J].

HUANG, CC ;

VERTINSKY, I ;

ZIEMBA, WT .

OPERATIONS RESEARCH, 1977, 25 (01) :128-139

[7] HOMOGENEOUS DISTRIBUTION PROBLEM WITH APPLICATIONS TO FINANCE [J].

HUANG, CC ;

WEHRUNG, DA ;

ZIEMBA, WT .

MANAGEMENT SCIENCE, 1976, 23 (03) :297-304

[8] BOUNDS ON THE EXPECTATION OF A CONVEX FUNCTION OF A MULTIVARIATE RANDOM VARIABLE [J].

MADANSKY, A .

ANNALS OF MATHEMATICAL STATISTICS, 1959, 30 (03) :743-746

[9] NONLINEAR-PROGRAMMING PROBLEMS WITH STOCHASTIC OBJECTIVE FUNCTIONS [J].

MANGASARIAN, OL .

MANAGEMENT SCIENCE, 1964, 10 (02) :353-359

[10]

MARSHALL AW, 1964, J MATH ANAL APPL, V8, P503

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