Finding the principal points of a random variable

The p-principal points of a random variable X with finite second moment are those p points in 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.

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Year of publication:	2001
Authors:	Carrizosa, Emilio ; Conde, E. ; Castano, A. ; Romero-Morales, Dolores
Publisher:	Cambridge University Press

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Type of publication:	Article
Language:	English
Notes:	Carrizosa, Emilio, Conde, E., Castano, A. and Romero-Morales, Dolores (2001) Finding the principal points of a random variable. RAIRO - Operations Research, 35 (3). pp. 315-328.
Other identifiers:	10.1051/ro:2001117 [DOI]
Source:	BASE

Persistent link: https://www.econbiz.de/10011425922