SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems

DOI10.1081/STM-200033112zbMath1067.60059OpenAlexW2053199928MaRDI QIDQ3157861

Tomás Prieto-Rumeau, Jean-Bernard Lasserre

Publication date: 19 January 2005

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/stm-200033112

zbMATH Keywords

semidefinite relaxationslinear relaxationscomputational methods for Markov processes

Mathematics Subject Classification ID

Semidefinite programming (90C22) Continuous-time Markov processes on general state spaces (60J25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (12)

Convergence of Finite Element Methods for Singular Stochastic Control ⋮ Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming ⋮ Analysis of transient queues with semidefinite optimization ⋮ A Mehrotra predictor-corrector interior-point algorithm for semidefinite optimization ⋮ An alternative approach for nonlinear optimal control problems based on the method of moments ⋮ Exact relaxations of non-convex variational problems ⋮ A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization ⋮ Coarse-Convex-Compactification Approach to Numerical Solution of Nonconvex Variational Problems ⋮ A semidefinite programming approach to the generalized problem of moments ⋮ PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS ⋮ A new full-Newton step \(O(n)\) infeasible interior-point algorithm for semidefinite optimization ⋮ Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process

Uses Software

• SeDuMi

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time-average control of martingale problems: Existence of a stationary solution
• Time-average control of martingale problems: A linear programming formulation
• Qualitative behavior of geostochastic systems
• Dynamic sampling plan in Shiryayev-Roberts procedure for detecting a change in the drift of Brownian motion
• A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
• An Explicit Equivalent Positive Semidefinite Program for Nonlinear 0-1 Programs
• Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
• Cones of Matrices and Set-Functions and 0–1 Optimization
• Geostochastic calculus
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Semidefinite Programming
• Semidefinite Programming vs. LP Relaxations for Polynomial Programming
• Stationary solutions and forward equations for controlled and singular martingale problems

This page was built for publication: SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems