Accession Number : ADA186147
Title : Bounding the Expectation of Convex Functions with Limited Distribution Information.
Descriptive Note : Technical rept.,
Corporate Author : MICHIGAN UNIV ANN ARBOR DEPT OF INDUSTRIAL AND OPERATIONS ENGINEERING
Personal Author(s) : Birge, John R ; Dula, Jose H
PDF Url : ADA186147
Report Date : Jan 1987
Pagination or Media Count : 23
Abstract : This paper considers bounds on the expectation of a convex function of a random variable when only limited information is available about the underlying distribution. The problem is presented as a generalized moment problem. A special class of functions is shown to have an easily computable solution to this problem with first and second moment constraints. Extensions are given for general convex functions on finite intervals or with finitely valued recession functions. Keywords: Integration; Stochastic programming; Moment problem; Duality; Approximation.
Descriptors : *DISTRIBUTION FUNCTIONS, *RANDOM VARIABLES, INTERVALS, MATHEMATICAL PROGRAMMING, MOMENTS, SPECIAL FUNCTIONS(MATHEMATICAL), STOCHASTIC PROCESSES
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE