Mean squared error minimization for inverse moment problems

DOI10.1007/S00245-013-9235-ZMaRDI QIDQ741143zbMATH OpenOpenAlexFDO

Authors Didier Henrion, Martin Mevissen, Jean B. Lasserre

Publication date 10 September 2014

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.6398

zbMATH Keywords

density estimationsemidefinite programminginverse moment problemsmean squared error minimization

Mathematics Subject Classification ID

Semidefinite programming (90C22) Inverse problems in optimal control (49N45)

Abstract: We consider the problem of approximating the unknown density $uin{L}^2(Omega,lambda)$ of a measure $mu$ on $Omegasubset{R}^n$, absolutely continuous with respect to some given reference measure $lambda$, from the only knowledge of finitely many moments of $mu$. Given $dinN$ and moments of order $d$, we provide a polynomial $p_d$ which minimizes the mean square error $int(u-p{)}^{2}dlambda$ over all polynomials $p$ of degree at most $d$. If there is no additional requirement, $p_d$ is obtained as solution of a linear system. In addition, if $p_d$ is expressed in the basis of polynomials that are orthonormal with respect to $lambda$, its vector of coefficients is just the vector of given moments and no computation is needed. Moreover $p_{d}ou$ in $L^2(Omega,lambda)$ as $doinfty$. In general nonnegativity of $p_d$ is not guaranteed even though $u$ is nonnegative. However, with this additional nonnegativity requirement one obtains analogous results but computing $p_{d}geq0$ that minimizes $int(u-p{)}^{2}dlambda$ now requires solving an appropriate semidefinite program. We have tested the approach on some applications arising from the reconstruction of geometrical objects and the approximation of solutions of nonlinear differential equations. In all cases our results are significantly better than those obtained with the maximum entropy technique for estimating $u$.

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Cited in

(7)

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• scientific article; zbMATH DE number 2058208 (Why is no real title available?)
• A statistical minimax approach to the Hausdorff moment problem
• Solutions to inverse moment estimation problems in dimension 2, using best constrained approximation
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Describes a project that uses

Uses Software

• SeDuMi
• GloptiPoly

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