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SPEPS Preprint

Author(s): Steftcho P. Dokov, The University of Texas at Austin
David P. Morton, The University of Texas at Austin
Title: Second-order lower bounds on the expectation of a convex function
Date of Acceptance: 16.04.2001
Submission Date: 26.02.2001
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10058157)
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Abstract (eng):
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 hyper-rectangle. 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.
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