Extreme Points of Moment Sets
- 1 November 1988
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Mathematics of Operations Research
- Vol. 13 (4) , 581-587
- https://doi.org/10.1287/moor.13.4.581
Abstract
The extreme points of sets of probability measures—determined by a finite number of generalized moment conditions—are characterized. Together with an integral representation theorem the characterization is used to optimize affine functionals.Keywords
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