An algorithm for the calculation of upper variance under multiple probabilities and its application to quadratic programming  

作　　者：Xinpeng Li Miao Yu Shiyi Zheng 

机构地区：[1]Research Center for Mathematics and Interdisciplinary Sciences,Shandong University,Qingdao 266237,China [2]Frontiers Science Center for Nonlinear Erpectations,Ministry of Education,Shandong University,Qingdao266237,China [3]School of Mathematics,Shandong University,Jinan 250100,China

出　　处：《Probability, Uncertainty and Quantitative Risk》2025年第1期59-66,共8页概率、不确定性与定量风险(英文)

摘　　要：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.

关 键 词：Multiple probabilities Quadratic programming Sublinear expectation Upper variance 

分 类 号：O221.2[理学—运筹学与控制论]