Abstract
In 1987, J. Dulá considered the problem of finding an upper bound for the expectation of a so-called “simplicial” function of a random vector and used for this purpose first and total second moments. Under the same moment conditions we consider some different cases of “recourse” functions and demonstrate how the related moment problems can be solved by solving nonsmooth (unconstrained) optimization problems and thereafter satisfying simple linear constraint systems.
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Kall, P. An upper bound for SLP using first and total second moments. Ann Oper Res 30, 267–276 (1991). https://doi.org/10.1007/BF02204820
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DOI: https://doi.org/10.1007/BF02204820