Minimization of φ-divergences on sets of signed measures

DOI10.1556/SSCMATH.43.2006.4.2MaRDI QIDQ3436152zbMATH OpenFDO

Authors M. Broniatowski, Amor Keziou

Publication date 8 May 2007

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

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

zbMATH Keywords

convex programmingmaximum entropyminimum divergenciesmoment problem

Mathematics Subject Classification ID

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

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.

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