Let $X$ be a bounded positive variable with an unknown probability density function (PDF) and $f(X)$ be a differentiable positive function. $$\begin{align*} &\min/\max &E\left[\frac{X}{f(X)}\right] =\text{ ?}\\ &\text{s.t.} &E[f(X)]=c \end{align*}$$
2026-02-22 23:23:50.1771802630
A stochastic programming with a chance constraint
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