Approximating integrals of multivariate exponentials: A moment approach

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.

• Type: Journal
• Year: 2008
• Where: ORL
• Authors: Dimitris Bertsimas, Xuan Vinh Doan, Jean B. Lasserre
• Keywords: Exponential Multivariate Integrals, Moment Relaxations, Order Statistic Probabilities, ORL 2008