Entropy maximization

Entropy maximization

An entropy maximization problem is a convex optimization problem of the form

:maximize f_0(x) = - sum_{i=1}^n x_i log x_i :subject to Ax leq b, quad mathbf{1}^T x =1

where x in mathbb{R}^n_{++} is the optimization variable, Ainmathbb{R}^{m imes n} and b inmathbb{R}^m are problem parameters, and mathbf{1} denotes a vector whose components are all 1.

ee also

* Principle of maximum entropy

External links

* cite book
last=Boyd
first=Stephen
coauthors=Lieven Vandenberghe
title=Convex Optimization
publisher=Cambridge University Press
date=2004
pages=p. 362
isbn=0521833787
url=http://www.stanford.edu/~boyd/cvxbook/bv_cvxbook.pdf
accessdate=2008-08-24


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