On distributional robust probability functions and their computations |
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| Authors: | Man Hong Wong Shuzhong Zhang |
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| Affiliation: | 1. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong Kong;2. Department of Industrial and Systems Engineering, University of Minnesota, 111 Church Street S.E., Minneapolis, MN 55455, USA |
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| Abstract: | Consider a random vector, and assume that a set of its moments information is known. Among all possible distributions obeying the given moments constraints, the envelope of the probability distribution functions is introduced in this paper as distributional robust probability function. We show that such a function is computable in the bi-variate case under some conditions. Connections to the existing results in the literature and its applications in risk management are discussed as well. |
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| Keywords: | Risk management Distributional robust Moment bounds Semidefinite programming (SDP) Conic programming |
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