Publication
Title
Optimal moment bounds under multiple shape constraints
Author
Abstract
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.
Language
English
Source (series)
Research paper / University of Antwerp ; 2009:5
Publication
Antwerpen : Universiteit Antwerpen, 2009
Volume/pages
17 p.
Full text (open access)
UAntwerpen
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Publication type
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Affiliation
Publications with a UAntwerp address
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Creation 01.07.2009
Last edited 23.12.2015
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