Generalized Chebyshev Bounds via Semidefinite Programming
A sharp lower bound on the probability of a set defined by quadratic inequalities, given the first two moments of the distribution, can be efficiently computed using convex optimization. This result generalizes Chebyshev's inequality for scalar random variables. Two semidefinite programming for...
| Veröffentlicht in: | SIAM Review. - Society for Industrial and Applied Mathematics, 1959. - 49(2007), 1, Seite 52-64 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Zugriff auf das übergeordnete Werk: | SIAM Review |
| Schlagworte: | semidefinite programming convex optimization duality theory Chebyshev inequalities moment problems Mathematics Philosophy |
| Online verfügbar |
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