Generalized Chebyshev Bounds via Semidefinite Programming
نویسندگان
چکیده
منابع مشابه
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 formulations are presented, with a constructive proof based on convex optimization duality and elementary...
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ژورنال
عنوان ژورنال: SIAM Review
سال: 2007
ISSN: 0036-1445,1095-7200
DOI: 10.1137/s0036144504440543