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Jean B. Lasserre(lasserrelaas.fr) Abstract: Given a compact parameter set $Y\subset R^p$, we consider polynomial optimization problems $(P_\y$) on $R^n$ whose description depends on the parameter $y\in Y$. We assume that one can compute all moments of some probability measure $\varphi$ on $Y$, absolutely continuous with respect to the Lebesgue measure (e.g. $Y$ is a box or a simplex and $\varphi$ is uniformly distributed). We then provide a hierarchy of semidefinite relaxations whose associated sequence of optimal solutions converges to the moment vector of a probability measure that encodes all information about all global optimal solutions $x^*(y)$ of $P_y$, as $y\in Y$. In particular, one may approximate as closely as desired any polynomial functional of the optimal solutions, like e.g. their $\varphi$mean. In addition, using this knowledge on moments, the measurable function $y\mapsto x^*_k(y)$ of the $k$th coordinate of optimal solutions, can be estimated, e.g. by maximum entropy methods. Also, for a boolean variable $x_k$, one may approximate as closely as desired its persistency $\varphi(\{y:x^*_k(y)=1\}$, i.e. the probability that in an optimal solution $x^*(y)$, the coordinate $x^*_k(y)$ takes the value $1$. At last but not least, from an optimal solution of the dual semidefinite relaxations, one provides a sequence of polynomial (resp. piecewise polynomial) lower approximations with $L_1(\varphi)$ (resp. $\varphi$almost uniform) convergence to the optimal value function. Keywords: Parametric and polynomial optimization; semidefinite relaxations Category 1: Global Optimization Category 2: Linear, Cone and Semidefinite Programming (Semidefinite Programming ) Category 3: Global Optimization (Theory ) Citation: To appear in SIAM J. Optim. Download: [PDF] Entry Submitted: 01/13/2010 Modify/Update this entry  
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