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Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming
SIAM Journal on Scientific Computing
We introduce an algorithm based on semidefinite programming that yields increasing (resp. decreasing) sequences of lower (resp. upper) bounds on polynomial stationary averages of diffusions with polynomial drift vector and diffusion coefficients. The bounds are obtained by optimising an objective, determined by the stationary average of interest, over the set of real vectors defined by certain linear equalities and semidefinite inequalities which are satisfied by the moments of any stationarydoi:10.1137/16m107801x fatcat:ffklme2pnfbunmzmzofstpinh4