Finding the principal points of a random variable

E. Carrizosa, E. Conde, A Castaņo, D. Romero Morales

The p-principal points of a random variable X with finite second moment are those p points in R minimizing the expected squared distance from X to the closest point. Although the determination of principal points involves in general the resolution of a multiextremal optimization problem, existing procedures in the literature provide just a local optimum. In this paper we show that standard Global Optimization techniques can be applied.

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