On the extreme points of moments sets
Document Type
Article
Publication Date
1-9-2016
Department
Department of Mathematical Sciences
Abstract
Necessary and sufficient conditions for a measure to be an extreme point of the set of measures on a given measurable space with prescribed generalized moments are given, as well as an application to extremal problems over such moment sets; these conditions are expressed in terms of atomic partitions of the measurable space. It is also shown that every such extreme measure can be adequately represented by a linear combination of k Dirac probability measures with nonnegative coefficients, where k is the number of restrictions on moments; moreover, when the measurable space has appropriate topological properties, the phrase “can be adequately represented by” here can be replaced simply by “is”. Applications to specific extremal problems are also given, including an exact lower bound on the exponential moments of truncated random variables, exact lower bounds on generalized moments of the interarrival distribution in queuing systems, and probability measures on product spaces with prescribed generalized marginal moments.
Publication Title
Mathematical Methods of Operations Research
Recommended Citation
Pinelis, I.
(2016).
On the extreme points of moments sets.
Mathematical Methods of Operations Research,
83(3), 325-349.
http://doi.org/10.1007/s00186-015-0530-0
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/4651