On Moment-Based Recovery of Measures with Atomic and Continuous Parts

TL;DR

This paper introduces a new measure recovery framework from moments that encompasses both atomic and continuous measures, supported by theoretical guarantees and practical algorithms.

Contribution

It formulates a novel recovery problem assuming compact support and separation, extending beyond traditional atomic measure recovery methods.

Findings

Guarantees for measure recovery under new assumptions

Connections established between spectral representations and orthogonal polynomials

Development and benchmarking of new algorithms for measure recovery

Abstract

Recovering probability measures from moments is a central theme in statistics and optimization. In particular, we focus on the recovery of measures from moments and pseudo-moments, which may come from solving the moment-SOS hierarchy in one dimension. A typical strategy when recovering a measure from moments is to verify the flat-extension property, which certifies that the underlying measure is finitely atomic and ultimately leads to recovery. For many classes of measures, however, the flat extension never occurs and thus if one aims to recover the measure corresponding to the moments, assumptions need to be made. We formulate a new kind of recovery problem, where one assumes that the measure has compact support and a fulfills a mild separation criterion. The key feature of this recovery problem formulation is that it covers not only finitely atomic measures, but also measures with continuous components. We study this new problem and describe three situations in which different guarantees can be proven. These guarantees are developed by studying the spectral representation of the Gelfand-Naimark-Segal construction and its connection to orthogonal polynomials, which ultimately allows us to provide several additional insights, which apply to algorithms widely used for the recovery of atomic measures from moments. Furthermore, the statements proven lead to novel algorithms, which we benchmark, further confirming the theoretical findings.