On the calculation of upper variance under multiple probabilities
Probability
2023-11-22 v1 Optimization and Control
Abstract
The notion of upper variance under multiple probabilities is defined by a corresponding minimax optimization problem. This paper proposes a simple algorithm to solve the related minimax optimization problem exactly. As an application, we provide the probabilistic representation for a class of quadratic programming problems.
Cite
@article{arxiv.2311.12413,
title = {On the calculation of upper variance under multiple probabilities},
author = {Xinpeng Li and Miao Yu and Shiyi Zheng},
journal= {arXiv preprint arXiv:2311.12413},
year = {2023}
}
Comments
8 pages