Generalized maximum entropy estimation

24 Aug 2017Tobias SutterDavid SutterPeyman Mohajerin EsfahaniJohn Lygeros

We consider the problem of estimating a probability distribution that maximizes the entropy while satisfying a finite number of moment constraints, possibly corrupted by noise. Based on duality of convex programming, we present a novel approximation scheme using a smoothed fast gradient method that is equipped with explicit bounds on the approximation error... (read more)

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