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

• 成果类型: Article
• 署名作者: Dokov, SP; Morton, DP
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1040.0136
• 发表日期: 2005
• 页码: 662-677
• 关键词: stochastic programs; approximation; inequalities; optimization

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.