A Survey of Semidefinite Programming Approaches to the Generalized Problem of Moments and Their Error Analysis

Book chapter (2019)

Authors

E. de Klerk Discrete Mathematics and Optimization - EEMCS , Tilburg University
Monique Laurent Centrum Wiskunde & Informatica (CWI), Tilburg University
Research Group
Discrete Mathematics and Optimization (EEMCS) (TU Delft)
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Published Date

2019

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Discrete Mathematics and Optimization

Abstract

The generalized problem of moments is a conic linear optimization problem over the convex cone of positive Borel measures with given support. It has a large variety of applications, including global optimization of polynomials and rational functions, option pricing in finance, constructing quadrature schemes for numerical integration, and distributionally robust optimization. A usual solution approach, due to J.B. Lasserre, is to approximate the convex cone of positive Borel measures by finite dimensional outer and inner conic approximations. We will review some results on these approximations, with a special focus on the convergence rate of the hierarchies of upper and lower bounds for the general problem of moments that are obtained from these inner and outer approximations.

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