In stochastic programming, the correlation gap is the worst-case ratio between the cost when the random variables are correlated to the cost when the random variables are independent. As an example, consider the following optimization problem.
In stochastic programming, the correlation gap is the worst-case ratio between the cost when the random variables are correlated to the cost when the random variables are independent. As an example, consider the following optimization problem.
Source: Wikipedia "Correlation gap" · CC BY-SA 4.0
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