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Journal Articles SIAM Journal on Optimization Year : 2018

Optimal data fitting: a moment approach

Abstract

We propose a moment relaxation for two problems, the separation and covering problem with semi-algebraic sets generated by a polynomial of degree d. We show that (a) the optimal value of the relaxation finitely converges to the optimal value of the original problem, when the moment order r increases and (b) after performing some small perturbation of the original problem, convergence can be achieved with r=d. We further provide a practical iterative algorithm that is computationally tractable for large datasets and present encouraging computational results.

Dates and versions

hal-01706850 , version 1 (12-02-2018)

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Jean-Bernard Lasserre, Victor Magron. Optimal data fitting: a moment approach. SIAM Journal on Optimization, 2018, 28 (4), pp.3127-3144. ⟨10.1137/18M1170108⟩. ⟨hal-01706850⟩
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