Generalized Variance of Multivariate Omega Functions and Duality

被引：0
|
作者：
Lee Papayanopoulos
机构：
[1] Rutgers Business School,
来源：
Annals of Operations Research | 2002年 / 116卷
关键词：
weighted binomial; combinatorial distribution; covariance; multivariance; volume; prior and posterior analysis; Bernoulli; discrete random variable; variance;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The covariance of probabilistic variables and the geometry of cones in deterministic optimization traditionally belong in distinct domains of study. This paper aims to show a relationship between the generalized variance of multidimensional joint omega functions and the duality of certain linear programs. Omega distributions are ubiquitous, polymorphic, and multifunctional but have been overlooked, partly due to a lack of closed form. However, the covariance/correlation matrix of joint omega functions can be stated. The geometry that links distributional covariance and generalized variance to the volume of dual cones is an exquisitely simple one.
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页码：21 / 40
页数：19
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