The Generalized Moment Problem with Complexity Constraint

Abstract.

In this paper, we present a synthesis of our differentiable approach to the generalized moment problem, an approach which begins with a reformulation in terms of differential forms and which ultimately ends up with a canonically derived, strictly convex optimization problem. Engineering applications typically demand a solution that is the ratio of functions in certain finite dimensional vector space of functions, usually the same vector space that is prescribed in the generalized moment problem. Solutions of this type are hinted at in the classical text by Krein and Nudelman and stated in the vast generalization of interpolation problems by Sarason. In this paper, formulated as generalized moment problems with complexity constraint, we give a complete parameterization of such solutions, in harmony with the above mentioned results and the engineering applications. While our previously announced results required some differentiability hypotheses, this paper uses a weak form involving integrability and measurability hypotheses that are more in the spirit of the classical treatment of the generalized moment problem. Because of this generality, we can extend the existence and well-posedness of solutions to this problem to nonnegative, rather than positive, initial data in the complexity constraint. This has nontrivial implications in the engineering applications of this theory. We also extend this more general result to the case where the numerator can be an arbitrary positive absolutely integrable function that determines a unique denominator in this finite-dimensional vector space. Finally, we conclude with four examples illustrating our results.