Level Sets and NonGaussian Integrals of Positively Homogeneous Functions

DOI10.1142/S0219198915400010MaRDI QIDQ5245031zbMATH OpenOpenAlexFDO

Authors Jean B. Lasserre

Publication date 1 April 2015

Published in International Game Theory Review (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.6632

zbMATH Keywords

volumeconvex optimizationpositively homogeneous functionsnon-Gaussian integrals

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Convex programming (90C25) Semidefinite programming (90C22) Integration of real functions of several variables: length, area, volume (26B15)

Abstract: We investigate various properties of the sublevel set $x,:,g(x)leq1$ and the integration of $h$ on this sublevel set when $g$ and $h$are positively homogeneous functions. For instance, the latter integral reduces to integrating $hexp(-g)$ on the whole space $R^n$ (a non Gaussian integral) and when $g$ is a polynomial, then the volume of the sublevel set is a convex function of the coefficients of $g$. In fact, whenever $h$ is nonnegative, the functional $intphi(g(x))h(x)dx$ is a convex function of $g$ for a large class of functions $phi:R_{+}oR$. We also provide a numerical approximation scheme to compute the volume or integrate $h$ (or, equivalently to approximate the associated non Gaussian integral). We also show that finding the sublevel set $x,:,g(x)leq1$ of minimum volume that contains some given subset $K$ is a (hard) convex optimization problem for which we also propose two convergent numerical schemes. Finally, we provide a Gaussian-like property of non Gaussian integrals for homogeneous polynomials that are sums of squares and critical points of a specific function.

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(14)

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• Probabilistic reachable sets of stochastic nonlinear systems with contextual uncertainties
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• Level Sets of Density Continuous Functions
• Probability maximization via Minkowski functionals: convex representations and tractable resolution
• scientific article; zbMATH DE number 1440004 (Why is no real title available?)
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• Volumes of Sublevel Sets of Nonnegative Forms and Complete Monotonicity
• Volume of sublevel sets of homogeneous polynomials
• Hepp's bound for Feynman graphs and matroids
• Measuring the level sets of anisotropic homogeneous functions
• Level sets and minimum volume sets of probability density functions.

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