Modeling probability densities with sums of exponentials via polynomial approximation

DOI10.1016/j.cam.2015.07.032zbMath1332.90320arXiv1401.2305OpenAlexW1423080328MaRDI QIDQ495127

Florin Avram, Bogdan C. Şicleru, Bogdan Dumitrescu

Publication date: 9 September 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.2305

zbMATH Keywords

optimizationpolynomial approximationsemi-infinite programmingdensity fittingsum of exponentials

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Semi-infinite programming (90C34)

Related Items (4)

Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Generating probability distributions on intervals and spheres: convex decomposition ⋮ On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails

Uses Software

• GloptiPoly
• CVX
• Chebfun
• EMpht
• POS3POLY

Cites Work

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• GloptiPoly 3: moments, optimization and semidefinite programming
• A Maximum Likelihood Approach to Density Estimation with Semidefinite Programming
• PIECEWISE POLYNOMIAL APPROXIMATIONS FOR HEAVY-TAILED DISTRIBUTIONS IN QUEUEING ANALYSIS
• Fitting combinations of exponentials to probability distributions
• Computation of Best One-Sided L 1 Approximation
• One-sided approximation of functions
• Global optimization of nonconvex factorable programming problems

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