Modeling probability densities with sums of exponentials via polynomial approximation
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Publication:495127
DOI10.1016/J.CAM.2015.07.032zbMATH Open1332.90320arXiv1401.2305OpenAlexW1423080328MaRDI QIDQ495127FDOQ495127
Authors: B. Dumitrescu, Bogdan C. Şicleru, F. Avram 
Publication date: 9 September 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Abstract: We propose a general method for optimization with semi-infinite constraints that involve a linear combination of functions, focusing on the case of the exponential function. Each function is lower and upper bounded on sub-intervals by low-degree polynomials. Thus, the constraints can be approximated with polynomial inequalities that can be implemented with linear matrix inequalities. Convexity is preserved, but the problem has now a finite number of constraints. We show how to take advantage of the properties of the exponential function in order to build quickly accurate approximations. The problem used for illustration is the least-squares fitting of a positive sum of exponentials to an empirical density. When the exponents are given, the problem is convex, but we also give a procedure for optimizing the exponents. Several examples show that the method is flexible, accurate and gives better results than other methods for the investigated problems.
Full work available at URL: https://arxiv.org/abs/1401.2305
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Cited In (6)
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- On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
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- Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
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