Monte-Carlo approximation of minimum entropy measures

DOI10.1016/S0764-4442(01)01835-3MaRDI QIDQ2711896zbMATH OpenOpenAlexFDO

Authors Benjamin Jourdain, Laurent Nguyen

Publication date 24 January 2002

Published in Comptes Rendus de l'Académie des Sciences. Série I. Mathématique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0764-4442(01)01835-3

zbMATH Keywords

consistency of a calibration methodconstrained minimization problementropy measuresminimum entropyMonte Carlo method

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Monte Carlo methods (65C05) Measures of information, entropy (94A17)

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Cited in

(3)

• Approximation of probability density functions by the multilevel Monte Carlo maximum entropy method
• A Monte Carlo estimation of the entropy for Markov chains
• Limiting distributions for minimum relative entropy calibration

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