Approximating integrals of multivariate exponentials: A moment approach

DOI10.1016/J.ORL.2007.07.002MaRDI QIDQ935225zbMATH OpenOpenAlexFDO

Authors Xuan Vinh Doan, Dimitris Bertsimas, Jean B. 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

exponential order statistic probabilityintegral approximationmoment relaxationmultivariate exponentialsmultivariate integralsnormal distributionsemidefinite programming

Mathematics Subject Classification ID

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

Review text

A method is proposed for the calculation of lower and upper bounds of some exponential multivariate integrals by use of moment relaxations. It is shown that they asymptotically converge to the value of the integral when the moment degree increases. The developed theory is applied on integrals involving the normal distribution and exponential order statistic probability.

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Cites work

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Cited in

(9)

• Some preliminary observations on an algorithm for the computation of moment integrals
• Multivariate truncated moments problems and maximum entropy
• scientific article; zbMATH DE number 26582 (Why is no real title available?)
• Simple upper and lower bounds for the multivariate Laplace approximation
• scientific article; zbMATH DE number 1047601 (Why is no real title available?)
• From infinite to finite programs: explicit error bounds with applications to approximate dynamic programming
• Generalized maximum entropy estimation
• Sum-of-squares relaxations for information theory and variational inference
• Approximating integrals of multivariate exponentials: A moment approach

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Uses Software

• SeDuMi

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