%0 Conference Paper %1 yu2009 %A Yu, Y.-L. %A Li, Y. %A Schuurmans, D. %A Szepesvári, Cs. %B NIPS %D 2009 %K at programming risk, stochastic theory, value %T A General Projection Property for Distribution Families %X Surjectivity of linear projections between distribution families with fixed mean and covariance (regardless of dimension) is re-derived by a new proof. We further extend this property to distribution families that respect additional constraints, such as symmetry, unimodality and log-concavity. By combining our results with classic univariate inequalities, we provide new worst-case analyses for natural risk criteria arising in classification, optimization, portfolio selection and Markov decision processes.

@inproceedings{yu2009, abstract = {Surjectivity of linear projections between distribution families with fixed mean and covariance (regardless of dimension) is re-derived by a new proof. We further extend this property to distribution families that respect additional constraints, such as symmetry, unimodality and log-concavity. By combining our results with classic univariate inequalities, we provide new worst-case analyses for natural risk criteria arising in classification, optimization, portfolio selection and Markov decision processes.}, added-at = {2020-03-17T03:03:01.000+0100}, author = {Yu, Y.-L. and Li, Y. and Schuurmans, D. and Szepesv{\'a}ri, {Cs}.}, biburl = {https://www.bibsonomy.org/bibtex/2446de8b673abbbaab6182437d7fec9d7/csaba}, booktitle = {NIPS}, date-added = {2010-08-28 17:38:14 -0600}, date-modified = {2010-11-25 00:51:09 -0700}, interhash = {16459e86704cd4dfe543dd6c9863423a}, intrahash = {446de8b673abbbaab6182437d7fec9d7}, keywords = {at programming risk, stochastic theory, value}, pdf = {papers/CVAR-NIPS09.pdf}, timestamp = {2020-03-17T03:03:01.000+0100}, title = {A General Projection Property for Distribution Families}, year = 2009 }