Truncated Moment Problem for Dirac Mixture Densities with Entropy Regularization

2014/08/29 by Hanebeck, Uwe D.
#FOS: Electrical engineering #Systems and Control (eess.SY) #electronic engineering #information engineering

paper · doi:10.48550/arxiv.1408.7083

Abstract

We assume that a finite set of moments of a random vector is given. Its underlying density is unknown. An algorithm is proposed for efficiently calculating Dirac mixture densities maintaining these moments while providing a homogeneous coverage of the state space.

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