Finding the Principal Points of a Random Variable

E. Carrizosa; A. Conde; D. Castano; M.D. Romero Morales

doi:10.1051/ro:2001117

Finding the Principal Points of a Random Variable

E. Carrizosa^*, A. Conde, D. Castano, M.D. Romero Morales

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

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.

Original language	English
Pages (from-to)	315-328
Journal	Rairo-Operations research
Volume	35
DOIs	https://doi.org/10.1051/ro:2001117
Publication status	Published - 1 Jan 2001

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10.1051/ro:2001117Licence: Unspecified

Cite this

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title = "Finding the Principal Points of a Random Variable",

abstract = "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.",

author = "E. Carrizosa and A. Conde and D. Castano and {Romero Morales}, M.D.",

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AB - 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.

U2 - 10.1051/ro:2001117

DO - 10.1051/ro:2001117

M3 - Article

SN - 0399-0559

VL - 35

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EP - 328

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