Linear programming solutions of the truncated moment problem

Linear programming solutions of the truncated moment problem

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Article ID: iaor1992380
Country: United Kingdom
Volume: 18
Start Page Number: 477
End Page Number: 485
Publication Date: Sep 1991
Journal: Computers and Operations Research
Authors: ,
Keywords: programming: linear
Abstract:

Linear programming formulations are presented for the truncated moment problem with a finite support set. The truncated moment problem can be constructed as a procedure to estimate an unknown distribution function whose set of moments is partially known. There is a description of a simulation experiment to test the effectiveness of various estimators and some related heuristics. The results are presented and discussed.

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