An Efficient Computational Procedure for Solving Entropy Optimization Problems with Infinitely Many Linear Constraints
SJSU users: use the following link to login and access the article via SJSU databases
A cutting-plane type algorithm for solving entropy optimization problems with a finite number of variables but an infinite number of linear constraints is proposed in this paper. In each iteration, we solve a finite entropy optimization problem and add one more constraint. The iterative process ends when an optimal solution is identified. A convergence proof, under some mild conditions, is given. An efficient implementation based on a dual approach is also included. Our preliminary computational experience confirms the efficiency of the proposed method and shows its potential for solving large-scale problems.
Shu-Cherng Fang and Jacob Tsao. "An Efficient Computational Procedure for Solving Entropy Optimization Problems with Infinitely Many Linear Constraints" Journal of Computational and Applied Mathematics 72 (1996): 127-139.