Accession Number : ADA186246

Title :   Upper Bounds on the Expected Value of a Convex Function Using Gradient and Conjugate Function Information.

Descriptive Note : Technical rept.,

Corporate Author : MICHIGAN UNIV ANN ARBOR DEPT OF INDUSTRIAL AND OPERATIONS ENGINEERING

Personal Author(s) : Birge, John R ; Teboulle, Marck

PDF Url : ADA186246

Report Date : Aug 1987

Pagination or Media Count : 30

Abstract : New upper bounds are given for the expected value of a convex function. The bounds employ subgradient information and the conjugate function. The bounds are derived and compared with previous bounds with different information requirements. Keywords: Bounds; Convex functions; Stochastic programs; Utility functions.

Descriptors :   *INFORMATION PROCESSING, *STOCHASTIC PROCESSES, CONVEX BODIES, FUNCTIONS(MATHEMATICS), REQUIREMENTS, UTILIZATION, INEQUALITIES

Subject Categories : Statistics and Probability
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE