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- W2897738737 abstract "We introduce approximation schemes for a type of countably-infinite-dimensional linear programs (CILPs) whose feasible points are unsigned measures and whose optimal values are bounds on the averages of these measures. In particular, we explain how to approximate the program's optimal value, optimal points, and minimal point (should one exist) by solving finite-dimensional linear programs. We show that the approximations converge to the CILP's optimal value, optimal points, and minimal point as the size of the finite-dimensional program approaches that of the CILP. Inbuilt in our schemes is a degree of error control: they yield lower and upper bounds on the optimal values and we give a simple bound on the approximation error of the minimal point. To motivate our work, we discuss applications of our schemes taken from the Markov chain literature: stationary distributions, occupation measures, and exit distributions." @default.
- W2897738737 created "2018-10-26" @default.
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- W2897738737 date "2018-10-08" @default.
- W2897738737 modified "2023-09-27" @default.
- W2897738737 title "Approximation schemes for countably-infinite linear programs with moment bounds" @default.
- W2897738737 hasPublicationYear "2018" @default.
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