MOMENTS,POSITIVE POLYNOMIALS & APPLN(V1)
| By: | Lasserre Jean Bernard |
| Publisher: | World Scientific Publishing |
| Print ISBN: | 9781848164451 |
| eText ISBN: | 9781848164468 |
| Edition: | 0 |
| Format: | Page Fidelity |
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Many important applications in global optimization, algebra, probability and statistics, applied mathematics, control theory, financial mathematics, inverse problems, etc. can be modeled as a particular instance of the Generalized Moment Problem (GMP).
This book introduces a new general methodology to solve the GMP when its data are polynomials and basic semi-algebraic sets. This methodology combines semidefinite programming with recent results from real algebraic geometry to provide a hierarchy of semidefinite relaxations converging to the desired optimal value. Applied on appropriate cones, standard duality in convex optimization nicely expresses the duality between moments and positive polynomials.
In the second part, the methodology is particularized and described in detail for various applications, including global optimization, probability, optimal control, mathematical finance, multivariate integration, etc., and examples are provided for each particular application.
Errata(s)
Errata
- Moments and Positive Polynomials:
- The Generalized Moment Problem
- Positive Polynomials
- Moments
- Algorithms for Moment Problems
- Applications:
- Global Optimization over Polynomials
- Systems of Polynomial Equations
- Applications in Probability
- Markov Chains Applications
- Application in Mathematical Finance
- Application in Control
- Convex Envelope and Representation of Convex Sets
- Multivariate Integration
- Min-Max Problems and Nash Equilibria
- Bounds on Linear PDE
Readership: Postgraduates, academics and researchers in mathematical programming, control and optimization.