Approximating integrals of multivariate exponentials: A moment approach

✍ Scribed by Dimitris Bertsimas; Xuan Vinh Doan; Jean Lasserre

• Publisher: Elsevier Science
• Year: 2008
• Tongue: English
• Weight: 168 KB
• Volume: 36
• Category: Article
• ISSN: 0167-6377
• DOI: 10.1016/j.orl.2007.07.002

✦ Synopsis

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.