Moments and sums of squares for solving the generalized problem of moments


Jean B. Lasserre

LAAS (Laboratoire d'Architecture et d'Analyse des Systèmes)-CNRS, Toulouse, France

Roughly speaking, the Generalized Problem of Moments (GPM) is an infinite-dimensional linear optimization problem (i.e. an infinite dimensional linear program) on a convex set of measures with support on a given subset K of Rn. From a theoretical viewpoint, the GPM has produced developments and impact in various areas of Mathematics like algebra, Fourier analysis, functional analysis, operator theory, probability and statistics, to cite a few. In addition, and despite its rather simple and short formulation, the GPM has a large number of important applications in various fields like optimization, probability, mathematical finance, optimal control, control and signal processing, chemistry, crystallography, tomography, quantum computing, etc.

In its full generality, the GPM is numerically intractable. However when the set K is compact and semi-algebraic, and the functions involved are polynomials (and in some cases piecewise polynomials or rational functions), then the situation is much nicer. Indeed, one can define a systematic numerical scheme based on a hierarchy of semidefinite programs, which provides a monotone sequence that converges to the optimal value of the GPM. Sometimes finite convergence may even occur.

In the talk, we will present the semidefinite programming methodology to solve the GPM and describe in detail several applications of the GPM (notably in probability and mathematical finance).

Jean B. Lasserre graduated from "Ecole Nationale Superieure d'Informatique et Mathematiques Appliquees" (ENSIMAG) in Grenoble (France), then got his PhD (1978) and "Doctorat d'Etat" (1984) degrees both from the University of Toulouse (France). Since 1980 he has been at LAAS-CNRS in Toulouse where he is currently "Directeur de Recherche" and is also an associate member of the Institute of Mathematics of Toulouse. He was a one year visitor (1978-79 and 1985-86) at the Electrical Engineering Dept. of the University of California at Berkeley with a fellowship from INRIA and NSF. He has published over 130 journal articles and is author of the forthcoming book "Linear and Integer Programming vs Linear Integration and Counting" (Springer), and co-author with O. Hernandez-Lerma of the books "Markov Chains and Invariant Probabilities" (Birkhauser, 2003), "Discrete-Time Markov Control Processes: Basic Optimality Criteria" (Springer, 1996), and "Further Topics on Discrete-Time Markov Control Processes" (Springer, 1999).

For more details about the speaker, see http://www.laas.fr/~lasserre/.