The Discrete Moment Problem with Nonconvex Shape Constraints

The discrete moment problem aims to find a worst-case discrete distribution that satisfies a given set of moments. This paper studies the discrete moment problems with additional shape constraints that guarantee the worst-case distribution is either log-concave (LC) or has an increasing failure rate...

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Veröffentlicht in:	Operations research 2021-01, Vol.69 (1), p.279-296
Hauptverfasser:	Chen, Xi, He, Simai, Jiang, Bo, Ryan, Christopher Thomas, Zhang, Teng
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Analysis Discrete element method Distribution (Probability theory) distributions Failure analysis Failure rates Inventory control Mathematical optimization moment problem Operations research Optimization programming Revenue management reverse convex programming robust optimization Robustness shape constraints stochastic and probability
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