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2001-04-16Buch DOI: 10.18452/8255
Second-order lower bounds on the expectation of a convex function
dc.contributor.authorDokov, Steftcho P.
dc.contributor.authorMorton, David P.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:43:26Z
dc.date.available2017-06-16T19:43:26Z
dc.date.created2006-02-15
dc.date.issued2001-04-16
dc.date.submitted2001-02-26
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8907
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleSecond-order lower bounds on the expectation of a convex function
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10058157
dc.identifier.doihttp://dx.doi.org/10.18452/8255
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2001
local.edoc.container-issue4
local.edoc.container-erstkatid2936317-2

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