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Finding the principal points of a random variable

Emilio Carrizosa;  E. Conde;  A. Castaño;  D. Romero-Morales — 2001

RAIRO - Operations Research - Recherche Opérationnelle

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.

Finding the principal points of a random variable

Emilio Carrizosa;  E. Conde;  A. Castaño;  D. Romero–Morales — 2010

RAIRO - Operations Research

The -principal points of a random variable with finite second moment are those points in ℝ minimizing the expected squared distance from 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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