Abstract
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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
