An Eecient Algorithm to Compute Maximum Entropy Densities
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چکیده
| We describe an algorithm to eeciently compute maximum entropy densities, i.e. densities maximizing the Shannon entropy ? R p(x) log p(x)dx under a set of constraints Eg i (x)] = c i , i = 1;: : : ; n: Our method is based on an algorithm by Zellner and Highheld, which has been found not to converge under a variety of circumstances. To demonstrate that our method overcomes these diiculties, we conduct numerous experiments for the special case g i (x) = x i ; n = 4.
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تاریخ انتشار 1999