| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1142913 | Operations Research Letters | 2008 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Dimitris Bertsimas, Xuan Vinh Doan, Jean Lasserre,