On the upper and lower covariances under multiple probabilities
Fuente:
arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866914693045551104 |
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| author | Li, Xinpeng Niu, Jingxu Zhou, Ke |
| author_facet | Li, Xinpeng Niu, Jingxu Zhou, Ke |
| contents | In this paper, we define the upper (resp. lower) covariance under multiple probabilities via a corresponding max-min-max (resp. min-max-min) optimization problem and the related properties of covariances are obtained. In particular, we propose a fast algorithm of calculation for upper and lower covariances under the finite number of probabilities. As an application, our algorithm can be used to solve a class of quadratic programming problem exactly, and we obtain a probabilistic representation of such quadratic programming problem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_17462 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the upper and lower covariances under multiple probabilities Li, Xinpeng Niu, Jingxu Zhou, Ke Probability In this paper, we define the upper (resp. lower) covariance under multiple probabilities via a corresponding max-min-max (resp. min-max-min) optimization problem and the related properties of covariances are obtained. In particular, we propose a fast algorithm of calculation for upper and lower covariances under the finite number of probabilities. As an application, our algorithm can be used to solve a class of quadratic programming problem exactly, and we obtain a probabilistic representation of such quadratic programming problem. |
| title | On the upper and lower covariances under multiple probabilities |
| topic | Probability |
| url | https://arxiv.org/abs/2402.17462 |