The multidimensional moment-constrained maximum entropy problem: A BFGS algorithm with constraint scaling

Journal of Computational Physics

Volumn 228, Issue 1, 2009, Pages 96-108

  Abramov, Rafail V ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Convex optimization; Maximum entropy problem; Moment constraints; Numerical methods

Indexed keywords

CONSTRAINED OPTIMIZATION; CONVERGENCE OF NUMERICAL METHODS; CONVEX OPTIMIZATION; MAXIMUM ENTROPY METHODS; POLYNOMIALS;

BFGS ALGORITHM; CONVEX OPTIMISATION; MAXIMUM ENTROPY PROBLEM; MAXIMUM-ENTROPY; MOMENT CONSTRAINTS; MULTI-DIMENSIONAL SETTINGS; ORIGINAL ALGORITHMS; ORTHOGONAL POLYNOMIAL; REORTHOGONALIZATIONS; SCALINGS;

LAGRANGE MULTIPLIERS;

EID: 55549092043     PISSN: 00219991     EISSN: 10902716     Source Type: Journal    
DOI: 10.1016/j.jcp.2008.08.020     Document Type: Article

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