| Abstract: |
| In this talk, we define the upper (resp. lower) covariance under sublinear expectation via a corresponding max-min-max (resp. min-max-min) problem and the related properties of covariances are obtained. In particular, we propose a fast algorithm of calculation for upper and lower covariances under a finite number of probabilities. As an application, our algorithm can be used to solve a class of quadratic programming problems which is an NP-hard problem in some cases, and we obtain a probabilistic representation of such quadratic programming problem. |
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