A TCHEBYSHEFF-TYPE BOUND ON THE EXPECTATION OF SUBLINEAR POLYHEDRAL FUNCTIONS
成果类型：
Article
署名作者：
DULA, JH; MURTHY, RV
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.40.5.914
发表日期：
1992
页码：
914-922
关键词：
摘要：
This work presents an upper bound on the expectation of sublinear polyhedral functions of multivariate random variables based on an inner linearization and domination by a quadratic function. The problem is formulated as a semi-infinite program which requires information on the first and second moments of the distribution, but without the need of an independence assumption. Existence of a solution and stability of this semi-infinite program are discussed. We show that an equivalent optimization problem with a nonlinear objective function and a set of linear constraints may be used to generate solutions.