Simple unconstrained dual convex programming method for the computation of discrete maximum entropy distributions. Research report

This document formulates the generalized constrained maximum-enentropy problem often used in a decision-making context as an extended dual convex programming problem. The dual problem is then presented. In this dual setting, the primal Lagrange multipliers are precisely the dual variables and are easily calculated directly by virtue of the simple structure of the dual problem. An example involving the selection of best equipment for an oil spill is presented as an illustration. The authors contrast their solution with those given by previous authors.