Alternating Direction Method for Maximum Entropy Subject to Simple Constraint Sets

A. Bnouhachem and Z. B. Liu
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A. Bnouhachem: Nanjing University
Z. B. Liu: Nanjing University

Journal of Optimization Theory and Applications, 2004, vol. 121, issue 2, No 2, 259-277

Abstract: Abstract The problem of maximizing the entropy subject to simple constraint sets is reformulated as a structured variational inequality problem by introducing dual variables. A new iterative alternating direction method is then developed that generates alternatively the dual and primal iterates. For some existing maximum entropy problems in the literature, the new dual iterate can be derived from a simple projection and then the new primal iterate can be obtained via solving approximately n separate one-dimensional strong monotone equations. Therefore, the proposed method is very easy to carry out. Preliminary numerical results show that the method is applicable.

Keywords: Maximum entropy; variational inequalities; alternating direction methods (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1023/B:JOTA.0000037405.55660.a4

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