Finding the principal points of a random variable

Carrizosa, Emilio; Conde, E.; Castaño, A.; Romero-Morales, D.

Carrizosa, Emilio ; Conde, E. ; Castaño, A.¹ ; Romero-Morales, D.²

¹ Departamento de Matemáticas, E.U. Empresariales, Universidad de Cádiz, C/ Por Vera, N. 54, Jerez de la Frontera, Cádiz, Spain.
² Faculty of Economics and Business Administration, Maastricht University, P.O. Box 616, 6200 MD Maastricht, The Netherlands.

RAIRO - Operations Research - Recherche Opérationnelle, Tome 35 (2001) no. 3, pp. 315-328.

Résumé

The $p$ -principal points of a random variable $X$ with finite second moment are those $p$ points in $ℝ$ minimizing the expected squared distance from $X$ to the closest point. Although the determination of principal points involves in general the resolution of a multiextremal optimization problem, existing procedures in the literature provide just a local optimum. In this paper we show that standard Global Optimization techniques can be applied.

Mots clés : principal points, d.c. functions, branch and bound

Affiliations des auteurs :

Carrizosa, Emilio ; Conde, E. ; Castaño, A. ¹ ; Romero-Morales, D. ²

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     author = {Carrizosa, Emilio and Conde, E. and Casta\~no, A. and Romero-Morales, D.},
     title = {Finding the principal points of a random variable},
     journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
     pages = {315--328},
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Carrizosa, Emilio; Conde, E.; Castaño, A.; Romero-Morales, D. Finding the principal points of a random variable. RAIRO - Operations Research - Recherche Opérationnelle, Tome 35 (2001) no. 3, pp. 315-328. http://www.numdam.org/item/RO_2001__35_3_315_0/

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