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Computing Maximum Entropy Densities: A Hybrid Approach
Badong Chen, Jinchun Hu, Yu Zhu
Pages - 114 - 122 | Revised - 30-04-2010 | Published - 10-06-2010
Published in Signal Processing: An International Journal (SPIJ)
MORE INFORMATION
KEYWORDS
Maximum entropy principle (MEP), maximum entropy density (MaxEnt density), Lagrangian multiplier, Newton's method, hybrid algorithm
ABSTRACT
This paper proposes a hybrid method to calculate the maximum entropy (MaxEnt) density subject to known moment constraints, which combines the linear equation (LE) method and Newton¡¯s method together. The new approach is more computationally efficient than ordinary Newton¡¯s method as it usually takes fewer Newton iterations to reach the final solution. Compared with the simple LE method, the hybrid algorithm will produce a more accurate solution. Numerical examples confirm the excellent performance of the proposed method.
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Dr. Badong Chen
Tsinghua University - China
chenbd04@mails.tsinghua.edu.cn
Associate Professor Jinchun Hu
- China
Professor Yu Zhu
Tsinghua University - China
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