An algorithm for the calculation of upper variance under multiple probabilities and its application to quadratic programming
The concept of upper variance under multiple probabilities is defined through a corresponding minimax optimization problem. This study proposes a simple algorithm to solve this optimization problem exactly. Additionally, we provide a probabilistic representation for a class of quadratic programming problems, demonstrating the practical application of our approach.
Authors
- Xinpeng Li (ORCID: https://orcid.org/0000-0002-4630-2181)
- Miao Yu (ORCID: https://orcid.org/0000-0001-8820-9594)
- Shiyi Zheng
Institutions
- Shandong University (CN)
Publication Details
- Journal
- Probability Uncertainty and Quantitative Risk
- Published
- 2025-01-01
- DOI
- https://doi.org/10.3934/puqr.2025004
- Primary Topic
- Fuzzy Systems and Optimization
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Science Foundation
- Shandong University
- National Natural Science Foundation of China
- Fundamental Research Funds for the Central Universities