A semidefinite programming approach to the generalized problem of moments
نویسنده
چکیده
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.
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ورودعنوان ژورنال:
- Math. Program.
دوره 112 شماره
صفحات -
تاریخ انتشار 2008