Entropy maximization

An entropy maximization problem is a convex optimization problem of the form

maximize $f_0(\overrightarrow{x})=-\sum _{i=1}^n{x}_i\log x_i$

subject to $A\overrightarrow{x}\le b,\sum _{i=1}^n{x}_i=1$

where $\overrightarrow{x}\in {\mathbb{ℝ}}_{++}^n$ is the optimization variable, $A\in {\mathbb{ℝ}}^{m\times n}$ and $b\in {\mathbb{ℝ}}^m$ are problem parameters.

See also

• Principle of maximum entropy

External links

• Boyd, Stephen; Lieven Vandenberghe (2004). Convex Optimization. Cambridge University Press. pp. 362. ISBN 0-521-83378-7. https://web.stanford.edu/~boyd/cvxbook/bv_cvxbook.pdf#page=376. Retrieved 2008-08-24.