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