English

A hierarchy of convex relaxations for the total variation distance

Optimization and Control 2025-10-17 v3

Abstract

Given two measures μ\mu, ν\nu on Rd that satisfy Carleman's condition, we provide a numerical scheme to approximate as closely as desired the total variation distance between μ\mu and ν\nu. It consists of solving a sequence (hierarchy) of convex relaxations whose associated sequence of optimal values converges to the total variation distance, an additional illustration of the versatility of the Moment-SOS hierarchy. Indeed each relaxation in the hierarchy is a semidefinite program whose size increases with the number of involved moments. It has an optimal solution which is a couple of degree-2n pseudo-moments which converge, as n grows, to moments of the Hahn-Jordan decomposition of μ\mu-ν\nu.

Keywords

Cite

@article{arxiv.2401.01086,
  title  = {A hierarchy of convex relaxations for the total variation distance},
  author = {Jean-Bernard Lasserre},
  journal= {arXiv preprint arXiv:2401.01086},
  year   = {2025}
}

Comments

Mathematical Programming, Series A, In press, 8 p