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Association for Women in Mathematics Series
The generalized problem of moments is a conic linear optimization problem over the convex cone of positive Borel measures with given support. It has a large variety of applications, including global optimization of polynomials and rational functions, option pricing in finance, constructing quadrature schemes for numerical integration, and distributionally robust optimization. A usual solution approach, due to J.B. Lasserre, is to approximate the convex cone of positive Borel measures by finitedoi:10.1007/978-3-030-21170-7_1 fatcat:23ussbhb55az7gk5avubr5lbce