Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming.
C. C. HuangWilliam T. ZiembaAharon Ben-TalPublished in: Oper. Res. (1977)
Keyphrases
- stochastic programming
- random variables
- convex functions
- linear program
- graphical models
- linear programming
- chance constrained
- probability distribution
- upper bound
- lower bound
- multistage
- optimal solution
- primal dual
- objective function
- dynamic programming
- bayesian networks
- stochastic dominance
- np hard
- convex sets
- worst case
- fuzzy random variables
- euclidean space
- lead time
- probabilistic model
- special case
- decision making