Approximating integrals of multivariate exponentials: A moment approach

  title={Approximating integrals of multivariate exponentials: A moment approach},
  author={Dimitris Bertsimas and Xuan Vinh Doan and Jean B. Lasserre},
  journal={Oper. Res. Lett.},
We propose a method to calculate lower and upper bounds of some exponential multivariate integrals using moment relaxations and show that they asymptotically converge to the value of the integrals when the moment degree increases. We report computational results for integrals involving the normal distribution and exponential order statistic probabilities. © 2007 Elsevier B.V. All rights reserved. 

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