On the calculation of upper variance under multiple probabilities
classification
🧮 math.PR
math.OC
keywords
minimaxmultipleoptimizationprobabilitiesproblemunderuppervariance
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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.
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