Optimal moment bounds under multiple shape constraintsOptimal moment bounds under multiple shape constraints
Faculty of Applied Economics
Accountancy and Finance
Mathematics, Statistics and Actuarial Sciences
Antwerpen :Universiteit Antwerpen, 2009[*]2009
Research paper / University of Antwerp ; 2009:5
University of Antwerp
Consider the problem of computing the optimal lower and upper bound for the expected value E[(X)], where X is an uncertain random probability variable. This paper studies the case in which the density of X is restricted by multiple shape constraints, each imposed on a different subset of the domain. We derive (closed) convex hull representations that allow us to reduce the optimization problem to a class of generating measures that are composed of convex sums of local probability measures. Furthermore, the notion of mass constraints is introduced to spread out the probability mass over the entire domain. A generalization to mass uncertainty is discussed as well.