|edoc-Server der Humboldt-Universität zu Berlin|
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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10058157)|
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|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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