Minimization of φ-divergences on sets of signed measures

DOI10.1556/SSCMATH.43.2006.4.2zbMATH Open1121.28004arXiv1003.5457MaRDI QIDQ3436152FDOQ3436152

Amor Keziou, M. Broniatowski

Publication date: 8 May 2007

Published in: Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)

Abstract: We consider the minimization problem of $phi$-divergences between a given probability measure $P$ and subsets $Omega$ of the vector space $mathcal{M}_{m}athcalF$ of all signed finite measures which integrate a given class $mathcalF$ of bounded or unbounded measurable functions. The vector space $mathcal{M}_{m}athcalF$ is endowed with the weak topology induced by the class $mathcalFcupmathcal{B}_b$ where $mathcal{B}_b$ is the class of all bounded measurable functions. We treat the problems of existence and characterization of the $phi$-projections of $P$ on $Omega$. We consider also the dual equality and the dual attainment problems when $Omega$ is defined by linear constraints.

Full work available at URL: https://arxiv.org/abs/1003.5457

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zbMATH Keywords

convex programmingmaximum entropymoment problemminimum divergencies

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Spaces of measures, convergence of measures (28A33) Duality theory for topological vector spaces (46A20)

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