A correspondence principle for relative entropy minimization

Donald E. Brown and Robert L. Smith

Naval Research Logistics (NRL), 1990, vol. 37, issue 2, 191-202

Abstract: Relative entropy minimization has been proposed as an inference method for problems with information in the form of constraints on the underlying probability model. We provide a theoretical justification for this procedure through a correspondence principle. In particular, for a convex constraints set Λ, we show that as the number of trials increases, the empirical distribution constrained to lie within Λ and associated with a discrete probability distribution p will become arbitrarily close with high probability to the distribution that minimizes the relative entropy between p and Λ.

Date: 1990
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Citations: View citations in EconPapers (3)

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https://doi.org/10.1002/1520-6750(199004)37:23.0.CO;2-C

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:37:y:1990:i:2:p:191-202

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