MOMENTS, POSITIVE POLYNOMIALS AND THEIR APPLICATIONS
by Jean Bernard Lasserre (LAAS-CNRS & Institute of Mathematics, University of Toulouse, France)
Table of Contents (72k)
Preface (120k)
Chapter 1: The Generalized Moment Problem (227k)
About the Author
J B Lasserre graduated from ENSIMAG in Grenoble, France (1976), and got his PhD (1978) and “Doctorat d'Etat” (1984) degrees both from University of Toulouse (France). He has been at LAAS-CNRS in Toulouse since 1980, where he is currently as Directeur de Recherche. He was an INRIA (1979) and NSF (1986) research fellow at the Electrical Engineering Dept. of the University of California at Berkeley. He has been Associate Editor for the journals Automatica, IEEE Trans Aut. Contr., Int. J. Prod. Res., Invest. Oper., Siam J. Contr. Optim., SIAM J. Optim. and Elec. J. Math. Phys. Sc.
In 2009, Lasserre was awarded the Lagrange Prize in Continuous Optimization.
Errata
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.
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