229 research outputs found
Level sets and non Gaussian integrals of positively homogeneous functions
We investigate various properties of the sublevel set
and the integration of on this sublevel set when and are positively
homogeneous functions. For instance, the latter integral reduces to integrating
on the whole space (a non Gaussian integral) and when is
a polynomial, then the volume of the sublevel set is a convex function of the
coefficients of . In fact, whenever is nonnegative, the functional is a convex function of for a large class of functions
. We also provide a numerical approximation scheme to compute
the volume or integrate (or, equivalently to approximate the associated non
Gaussian integral). We also show that finding the sublevel set of minimum volume that contains some given subset is a
(hard) convex optimization problem for which we also propose two convergent
numerical schemes. Finally, we provide a Gaussian-like property of non Gaussian
integrals for homogeneous polynomials that are sums of squares and critical
points of a specific function
Inverse polynomial optimization
We consider the inverse optimization problem associated with the polynomial
program f^*=\min \{f(x): x\in K\}y\in
K\tilde{f}fy\tilde{f}Kd\tilde{f}\Vert f-\tilde{f}\Vert\ell_1\ell_2\ell_\infty\tilde{f}_df(\y)f^*\ell_1\tilde{f}$ takes a
simple and explicit canonical form. Some variations are also discussed.Comment: 25 pages; to appear in Math. Oper. Res; Rapport LAAS no. 1114
Reconstruction of algebraic-exponential data from moments
Let be a bounded open subset of Euclidean space with real algebraic
boundary . Under the assumption that the degree of is
given, and the power moments of the Lebesgue measure on are known up to
order , we describe an algorithmic procedure for obtaining a polynomial
vanishing on . The particular case of semi-algebraic sets defined by a
single polynomial inequality raises an intriguing question related to the
finite determinateness of the full moment sequence. The more general case of a
measure with density equal to the exponential of a polynomial is treated in
parallel. Our approach relies on Stokes theorem and simple Hankel-type matrix
identities
GloptiPoly 3: moments, optimization and semidefinite programming
We describe a major update of our Matlab freeware GloptiPoly for parsing
generalized problems of moments and solving them numerically with semidefinite
programming
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