Entropy-convergence in Stieltjes and Hamburger moment problem (Q1126594): Difference between revisions
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Property / cites work: Maximum entropy in the finite Stieltjes and Hamburger moment problem / rank | |||
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Property / cites work: Convergence of Best Entropy Estimates / rank | |||
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Latest revision as of 10:08, 30 July 2024
scientific article
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English | Entropy-convergence in Stieltjes and Hamburger moment problem |
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Entropy-convergence in Stieltjes and Hamburger moment problem (English)
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7 April 1999
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Let \(\{\mu_n\}^\infty_0\) be a sequence of moments for the Hamburger moment problem and let \(f(x)\) be the (unknown) density function: \(\mu_n= \int_\mathbb{R} x^n f(x)dx\), \(n=0,1, \dots\) The maximal entropy principle is a formal procedure for obtaining approximants \(f_M\) of \(f\) with first \(M+1\) moments \(\{\mu_j \}^M_0\) equal to the given ones. It is shown that if the moment sequence uniquely determines the density function, then \(\lim_{M \to \infty} H[f_M] =H[f]\), where \(H[f]=-\int_\mathbb{R} f(x)\ln f(x) dx\) is the Boltzmann-Shannon entropy. The same result is obtained for the Stieltjes moment problem. In a previous publication the authors considered the case of finite moment sequences [J. Math. Phys. 35, No. 12, 6748-6756 (1994; Zbl 0830.41020)].
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entropy-convergence
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Hamburger moment problem
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maximal entropy principle
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Boltzmann-Shannon entropy
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Stieltjes moment problem
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