单纯形上的最大熵和鲁棒预测

Proceedings of 1994 Workshop on Information Theory and Statistics Pub Date : 1994-10-27 DOI:10.1109/WITS.1994.513848

H. Poor

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引用次数: 4

摘要

研究了协方差矩阵单纯形上的有限长鲁棒预测和谱熵最大化的相关问题。给出了这些问题迭代解的一般性质，并给出了提供这些解的两种算法的单调收敛证明。本文还讨论了谱密度简单体的类似问题。

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Maximum entropy and robust prediction on a simplex

The related problems of (finite-length) robust prediction and maximizing spectral entropy over a simplex of covariance matrices are considered. General properties of iterative solutions of these problems are developed, and monotone convergence proofs are presented for two algorithms that provide such solutions. The analogous problems for simplexes of spectral densities are also considered.

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Proceedings of 1994 Workshop on Information Theory and Statistics

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