Second-order lower bounds on the expectation of a convex function

被引:14
作者
Dokov, SP [1 ]
Morton, DP [1 ]
机构
[1] Univ Texas, Grad Program Operat Res, Austin, TX 78712 USA
关键词
stochastic programming approximations; generalized moment problems;
D O I
10.1287/moor.1040.0136
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 [运筹学与控制论]; 12 [管理学]; 1201 [管理科学与工程]; 1202 [工商管理学]; 120202 [企业管理];
摘要
We develop a class of lower bounds on the expectation of a convex function. The bounds utilize the first two moments of the underlying random variable, whose support is contained in a bounded interval or hyperrectangle. Our bounds have applications to stochastic programs whose random parameters are known only through limited-moment information. Computational results are presented for two-stage stochastic linear programs.
引用
收藏
页码:662 / 677
页数:16
相关论文
共 37 条
[1]
Birge J. R., 1991, Annals of Operations Research, V30, P277, DOI 10.1007/BF02204821
[2]
Birge J. R., 1997, INTRO STOCHASTIC PRO
[3]
REFINING BOUNDS FOR STOCHASTIC LINEAR-PROGRAMS WITH LINEARLY TRANSFORMED INDEPENDENT RANDOM-VARIABLES [J].
BIRGE, JR ;
WALLACE, SW .
OPERATIONS RESEARCH LETTERS, 1986, 5 (02) :73-77
[4]
SUBLINEAR UPPER-BOUNDS FOR STOCHASTIC PROGRAMS WITH RECOURSE [J].
BIRGE, JR ;
WETS, RJB .
MATHEMATICAL PROGRAMMING, 1989, 43 (02) :131-149
[5]
BIRGE JR, 1986, MATH PROGRAM STUD, V27, P54, DOI 10.1007/BFb0121114
[6]
COMPUTING BOUNDS FOR STOCHASTIC-PROGRAMMING PROBLEMS BY MEANS OF A GENERALIZED MOMENT PROBLEM [J].
BIRGE, JR ;
WETS, RJB .
MATHEMATICS OF OPERATIONS RESEARCH, 1987, 12 (01) :149-162
[7]
A SEPARABLE PIECEWISE LINEAR UPPER BOUND FOR STOCHASTIC LINEAR-PROGRAMS [J].
BIRGE, JR ;
WALLACE, SW .
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1988, 26 (03) :725-739
[8]
A TCHEBYSHEFF-TYPE BOUND ON THE EXPECTATION OF SUBLINEAR POLYHEDRAL FUNCTIONS [J].
DULA, JH ;
MURTHY, RV .
OPERATIONS RESEARCH, 1992, 40 (05) :914-922
[9]
AN UPPER BOUND ON THE EXPECTATION OF SIMPLICIAL FUNCTIONS OF MULTIVARIATE RANDOM-VARIABLES [J].
DULA, JH .
MATHEMATICAL PROGRAMMING, 1992, 55 (01) :69-80
[10]
DUPACOVA J, 1966, CASOPIS PRO PETOVANI, V91, P423