Optimization of entropy: computational implementation of the principles MinxEnt and MaxEn

Optimization of entropy: computational implementation of the principles MinxEnt and MaxEn

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Article ID: iaor20084113
Country: Brazil
Volume: 22
Issue: 1
Start Page Number: 37
End Page Number: 59
Publication Date: Jan 2002
Journal: Pesquisa Operacional
Authors: ,
Keywords: entropy
Abstract:

The entropy optimization principles MaxEnt of Jaynes and MinxEnt of Kullback can be applied in a variety of scientific fields. Both involve the constrained optimization of entropy measures, which are intrinsically nonlinear functions of probabilities. Since each is a non-linear programming problem, their solution depends on iterative search algorithms, and, in addition, the constraints that probabilities are non-negative and sum up to one restrict in a particular way the solution space. The paper presents in detail (with the aid of two flowcharts) a computer efficient implementation of those two principles in the linearly constrained case that makes a prior check for the existence of solution to the optimization problems. The authors also make available easy-to-use MatLab codes.

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