Extreme Points of Certain Sets of Probability Measures, with Applications
- 1 February 1983
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Mathematics of Operations Research
- Vol. 8 (1) , 74-85
- https://doi.org/10.1287/moor.8.1.74
Abstract
Let K be the set of probability measures on a metric space having prescribed values for the integrals of (a finite number of) prescribed functions fi. Extreme points of K are characterized in general. Under a restriction on the fi extreme points and more general faces of K are characterized. Applications to inverse balayage problems, measures with prescribed moments or values of Laplace transforms, measures with prescribed marginal distributions and the queueing system GI/M/1 are presented.Keywords
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