A semidefinite programming approach to the generalized problem of moments

• 成果类型: Article; Proceedings Paper
• 署名作者: Lasserre, Jean B.
• 署名单位: Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-006-0085-1
• 发表日期: 2008
• 页码: 65-92
• 关键词: global optimization; POLYNOMIALS; relaxations

摘要

We consider the generalized problem of moments (GPM) from a computational point of view and provide a hierarchy of semidefinite programming relaxations whose sequence of optimal values converges to the optimal value of the GPM. We then investigate in detail various examples of applications in optimization, probability, financial economics and optimal control, which all can be viewed as particular instances of the GPM.