An efficient computational procedure for solving entropy optimization problems with infinitely many linear constraints

An efficient computational procedure for solving entropy optimization problems with infinitely many linear constraints

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Article ID: iaor19981352
Country: Netherlands
Volume: 72
Issue: 1
Start Page Number: 127
End Page Number: 139
Publication Date: Jul 1996
Journal: Journal of Computational and Applied Mathematics
Authors: ,
Keywords: entropy
Abstract:

A cutting-plane type algorithm for solving entropy optimization problems with a finite number of variables but an infinite number of linear constraints is proposed in this paper. In each iteration, we solve a finite entropy optimization problem and add one more constraint. The iterative process ends when an optimal solution is identified. A convergence proof, under some mild conditions, is given. An efficient implementation based on a dual approach is also included. Our preliminary computational experience confirms the efficiency of the proposed method and shows its potential for solving large-scale problems.

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