Optimizing the Expected Maximum of Two Linear Functions Defined on a Multivariate Gaussian Distribution

We study stochastic optimization problems with objective function given by the expectation of the maximum of two linear functions defined on the component random variables of a multivariate Gaussian distribution. We consider random variables that are arbitrarily correlated, and we show that the prob...

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Veröffentlicht in:	INFORMS journal on computing 2023-03, Vol.35 (2), p.304-317
1. Verfasser:	Bergman, David
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Benders decomposition Distribution functions Linear functions Multivariate analysis Normal distribution Optimization Probability density functions Random variables scheduling sports analytics Statistical analysis stochastic methods Stochastic models
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