| Issue |
RAIRO-Oper. Res.
Volume 35, Number 3, July September 2001
|
|
|---|---|---|
| Page(s) | 315 - 328 | |
| DOI | https://doi.org/10.1051/ro:2001117 | |
| Published online | 15 August 2002 | |
Finding the principal points of a random variable
1
Facultad de Matemáticas, Universidad de
Sevilla, C/ Tarfia s/n, 41012 Sevilla,
Spain.
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.
Received:
December
1999
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
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