Journal
MATHEMATICAL PROGRAMMING
Volume 112, Issue 1, Pages 65-92Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s10107-006-0085-1
Keywords
problem of moments; semidefinite programming; relaxations
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We consider the generalized problem of moments (GPM) from a computational point of view and provide a hierarchy of semidefinite programming relaxations whose sequence of optimal values converges to the optimal value of the GPM. We then investigate in detail various examples of applications in optimization, probability, financial economics and optimal control, which all can be viewed as particular instances of the GPM.
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