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An upper bound on the expected value of a non-increasing convex function with convex marginal return functions.
Christopher J. Donohue
John R. Birge
Published in:
Oper. Res. Lett. (1996)
Keyphrases
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convex functions
upper bound
convex programs
lower bound
linear program
quasiconvex
convex programming
convex sets
objective function
exact penalty
dc programming
piecewise linear
primal dual
convex constraints
branch and bound algorithm
worst case
reinforcement learning
learning algorithm