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Approximating integrals of multivariate exponentials : a moment approach
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Bertsimas, Dimitris, Doan, Xuan Vinh and Lasserre, Jean. (2008) Approximating integrals of multivariate exponentials : a moment approach. Operations Research Letters, 36 (2). pp. 205-210. ISSN 0167-6377
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Official URL: http://dx.doi.org/10.1016/j.orl.2007.07.002
Abstract
We propose a method to calculate lower and upper bounds of some exponential multivariate integrals using moment relaxations and show that they asymptotically converge to the value of the integrals when the moment degree increases. We report computational results for integrals involving the normal distribution and exponential order statistic probabilities.
| Item Type: | Journal Article |
|---|---|
| Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
| Journal or Publication Title: | Operations Research Letters |
| Publisher: | Elsevier BV |
| ISSN: | 0167-6377 |
| Date: | March 2008 |
| Volume: | 36 |
| Number: | 2 |
| Page Range: | pp. 205-210 |
| Identification Number: | 10.1016/j.orl.2007.07.002 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/49879 |
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