Lebesgue decomposition in action via semidefinite relaxations

Abstract: Given all (finite) moments of two measures

m u

and

l a m b d a

on

R^{n}

, we provide a numerical scheme to obtain the Lebesgue decomposition

m u = u + p s i

with

u l l l a m b d a

and

p s i p e r p l a m b d a

. When

u

has a density in

L_{i} n f t y (l a m b d a)

then we obtain two sequences of finite moments vectorsof increasing size (the number of moments) which converge to the moments of

u

and

p s i

respectively, as the number of moments increases. Importantly, {it no} `a priori knowledge on the supports of

m u, u

and

p s i

is required.

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