Finding the principal points of a random variable
Facultad de Matemáticas, Universidad de
Sevilla, C/ Tarfia s/n, 41012 Sevilla,
2 Departamento de Matemáticas, E.U. Empresariales, Universidad de Cádiz, C/ Por Vera, N. 54, Jerez de la Frontera, Cádiz, Spain.
3 Faculty of Economics and Business Administration, Maastricht University, P.O. Box 616, 6200 MD Maastricht, The Netherlands.
Accepted: April 2001
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.
Key words: Principal points / d.c. functions / branch and bound.
© EDP Sciences, 2001