Approximating integrals of multivariate exponentials: A moment approach

DOI10.1016/j.orl.2007.07.002zbMath1160.65009OpenAlexW1992448301MaRDI QIDQ935225

Xuan Vinh Doan, Dimitris J. Bertsimas, Jean-Bernard Lasserre

Publication date: 6 August 2008

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2007.07.002

zbMATH Keywords

semidefinite programmingnormal distributionintegral approximationmultivariate integralsexponential order statistic probabilitymoment relaxationmultivariate exponentials

Mathematics Subject Classification ID

Semidefinite programming (90C22) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

Related Items (4)

Generalized maximum entropy estimation ⋮ From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming ⋮ Multivariate truncated moments problems and maximum entropy ⋮ Approximating integrals of multivariate exponentials: A moment approach

Uses Software

• SeDuMi

Cites Work

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• Approximating integrals of multivariate exponentials: A moment approach
• Global Optimization with Polynomials and the Problem of Moments
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Approximation et interpolation des fonctions différentiables de plusieurs variables
• An exact sequence in differential topology

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