Conditioning moments of singular measures for entropy optimization. I

DOI10.1016/J.INDAG.2012.05.008zbMATH Open1261.49012arXiv1203.3235OpenAlexW3100281489MaRDI QIDQ692582FDOQ692582

Authors: Marko Budišić, Mihai Putinar 

Publication date: 6 December 2012

Published in: Indagationes Mathematicae. New Series (Search for Journal in Brave)

Abstract: In order to process a potential moment sequence by the entropy optimization method one has to be assured that the original measure is absolutely continuous with respect to Lebesgue measure. We propose a non-linear exponential transform of the moment sequence of any measure, including singular ones, so that the entropy optimization method can still be used in the reconstruction or approximation of the original. The Cauchy transform in one variable, used for this very purpose in a classical context by A. A. Markov and followers, is replaced in higher dimensions by the Fantappi`{e} transform. Several algorithms for reconstruction from moments are sketched, while we intend to provide the numerical experiments and computational aspects in a subsequent article. The essentials of complex analysis, harmonic analysis, and entropy optimization are recalled in some detail, with the goal of making the main results more accessible to non-expert readers. Keywords: Fantappi`e transform; entropy optimization; moment problem; tube domain; exponential transform

Full work available at URL: https://arxiv.org/abs/1203.3235

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zbMATH Keywords

moment problementropy optimizationexponential transformtube domainFantappiè transform

Mathematics Subject Classification ID

Miscellaneous topics in calculus of variations and optimal control (49N99) Mathematical programming (90C99)

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Cited In (3)

• Multivariate truncated moments problems and maximum entropy
• Discretizing distributions with exact moments: error estimate and convergence analysis
• Conditioning moments of singular measures for entropy maximization II: Numerical examples

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