On the geometry of maximum entropy problems
From MaRDI portal
Publication:2848604
covariance selectionspectral estimationmaximum entropy problemgeometric principleGibbs's variational principle
Estimation in multivariate analysis (62H12) Optimality conditions and duality in mathematical programming (90C46) Inference from stochastic processes and spectral analysis (62M15) Measures of information, entropy (94A17) Stationary stochastic processes (60G10) Optimality conditions for problems in abstract spaces (49K27)
Abstract: We show that a simple geometric result suffices to derive the form of the optimal solution in a large class of finite and infinite-dimensional maximum entropy problems concerning probability distributions, spectral densities and covariance matrices. These include Burg's spectral estimation method and Dempster's covariance completion, as well as various recent generalizations of the above. We then apply this orthogonality principle to the new problem of completing a block-circulant covariance matrix when an a priori estimate is available.
Recommendations
- Multidimensional maximum-entropy covariance extension
- Determination of maximum entropy probability distribution via Burg's measure of entropy
- An efficient algorithm for maximum entropy extension of block-circulant covariance matrices
- Maximum entropy and robust prediction on a simplex
- scientific article; zbMATH DE number 1163770
Cited in
(17)- Entropy methods in asymptotic convex geometry
- scientific article; zbMATH DE number 4062054 (Why is no real title available?)
- Space and spectral domain relative entropy for homogeneous random fields
- The multidimensional moment problem with complexity constraint
- Modeling of stationary periodic time series by ARMA representations
- Determination of maximum entropy probability distribution via Burg's measure of entropy
- scientific article; zbMATH DE number 4131764 (Why is no real title available?)
- scientific article; zbMATH DE number 2063205 (Why is no real title available?)
- Multidimensional maximum-entropy covariance extension
- An efficient algorithm for maximum entropy extension of block-circulant covariance matrices
- Linnik's problems and maximal entropy methods
- Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
- State distributions and minimum relative entropy noise sequences in uncertain stochastic systems: the discrete-time case
- Analytical forms for most likely matrices derived from incomplete information
- Stochastic control liaisons. Richard Sinkhorn meets Gaspard Monge on a Schrödinger bridge
- Multidimensional rational covariance extension with applications to spectral estimation and image compression
- \(M^2\)-spectral estimation: a relative entropy approach
This page was built for publication: On the geometry of maximum entropy problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2848604)
