Second-Order Lower Bounds on the Expectation of a Convex Function
Steftcho DokovGraduate Program in Operations Research, The University of Texas at Austin, Austin, Texas 78712David P. MortonGraduate Program in Operations Research, The University of Texas at Austin, Austin, Texas 78712
2005en
ABI
Abstract
We develop a class of lower bounds on the expectation of a convex function. The bounds utilize the first two moments of the underlying random variable, whose support is contained in a bounded interval or hyperrectangle. Our bounds have applications to stochastic programs whose random parameters are known only through limited-moment information. Computational results are presented for two-stage stochastic linear programs.
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