Bounds on measures satisfying moment conditions

Given a semi algebraic set S of R^n we provide a numerical approximation procedure that yields upper and lower bounds on mu(S), for measures mu that satisfy some given moment conditions. The bounds are obtained as solutions of positive semidefinite programs that can be solved via standard software packages like the LMI MATLAB toolbox.


Annals of Applied Probability 12 (2002), 1114-1137