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10

ORL
2008

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Approximating integrals of multivariate exponentials: A moment approach

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Approximating integrals of multivariate exponentials: A moment approach

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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.

Dimitris Bertsimas, Xuan Vinh Doan, Jean B. Lasser

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Exponential Multivariate Integrals | Moment Relaxations | Order Statistic Probabilities | ORL 2008 |

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Added	14 Dec 2010
Updated	14 Dec 2010
Type	Journal
Year	2008
Where	ORL
Authors	Dimitris Bertsimas, Xuan Vinh Doan, Jean B. Lasserre

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