| Article ID: | iaor20091440 |
| Country: | Netherlands |
| Volume: | 36 |
| Issue: | 2 |
| Start Page Number: | 205 |
| End Page Number: | 210 |
| Publication Date: | Mar 2008 |
| Journal: | Operations Research Letters |
| Authors: | Bertsimas Dimitris, Lasserre Jean, Doan Xuan Vinh |
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.