期刊
MATHEMATICAL PROGRAMMING
卷 112, 期 1, 页码 65-92出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s10107-006-0085-1
关键词
problem of moments; semidefinite programming; relaxations
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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