SEMIDEFINITE PROGRAMMING AND MULTIVARIATE CHEBYSHEV BOUNDS
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: IFAC Proceedings Volumes
سال: 2006
ISSN: 1474-6670
DOI: 10.3182/20060705-3-fr-2907.00102