Numerical estimation of a probability measure
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An iterative solution to the problem of maximizing a concave functional \(\Phi\) defined on the set of all probability measures on a topological space is considered. Convergence of this procedure and a rapidly converging algorithm are studied. Computational aspects of this algorithm along with the ones developed earlier by Wynn, Fedorov, Atwood, Wu and others are provided. Examples discussed are taken from the area of mixture likelihoods and optimal experimental design.
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Cited in
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