| Article ID: | iaor1998903 |
| Country: | Netherlands |
| Volume: | 79 |
| Issue: | 2 |
| Start Page Number: | 369 |
| End Page Number: | 378 |
| Publication Date: | Dec 1994 |
| Journal: | European Journal of Operational Research |
| Authors: | Fang S.C., Tsao H.S.J. |
| Keywords: | entropy, duality |
In this paper, we propose a curved-search algorithm for solving the cross-entropy minimization problem with linear equality constraints. The proposed algorithm converges globally to a dual optimal solution with a quadratic rate of convergence. A dual-to-primal conversion formula is provided. We also analyze the computational effort required for the algorithm and report our computational experience.