This paper is concerned with the determination of tight lower and upper bounds on the expectation of a convex function of a random variable. The classic bounds are those of Jensen and ...

A random variable is one whose value is unknown or a function that assigns values to each of an experiment’s outcomes. A random variable can be discrete or continuous.

The importance of having improved bounds is illustrated through a non-linear programming problem with stochastic objective function, known as the "wait and see" problem.