Bounding the support of a measure from its marginal moments

Published 31 Oct 2010 in math.OC | (1011.0138v1)

Abstract: Given all moments of the marginals of a measure on Rn, one provides (a) explicit bounds on its support and (b), a numerical scheme to compute the smallest box that contains the support. It consists of solving a hierarchy of generalized eigenvalue problems associated with some Hankel matrices.

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Authors (1)

Jean Lasserre

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