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: | Fang Shu-Cherng, Tsao H.-S. Jacob |
Keywords: | entropy |
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.