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

Etienne de Klerk (1) , Etienne De Klerk , Monique Laurent (2)

1 Tilburg University [Netherlands]
2 CWI - Centrum voor Wiskunde en Informatica

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.

Domaines: Mathématiques [math]; Géométrie algébrique [math.AG]

Etienne de Klerk, Etienne De Klerk, Monique Laurent. A Survey of Semidefinite Programming Approaches to the Generalized Problem of Moments and Their Error Analysis. World Women in Mathematics 2018, pp.17-56, 2019, ⟨10.1007/978-3-030-21170-7_1⟩. ⟨hal-02407295⟩