Extremal principles and optimization dualities for khinchin-kullback-leibler estimation
作者:
A. Charnes,
W.W. Cooper,
L. Seiford,
期刊:
Mathematische Operationsforschung und Statistik. Series Optimization
(Taylor Available online 1978)
卷期:
Volume 9,
issue 1
页码: 21-29
ISSN:0323-3898
年代: 1978
DOI:10.1080/02331937808842461
出版商: Akademic-Verlag
数据来源: Taylor
摘要:
This paper presents a new extremal approach to deriving dual optimization problems with proper duality inequality which simplifies, and generalizes the Fenchel-Rockafellar scheme. Our derivation proceeds in two stages, (i) inequality attainment,(ii) decoupling primal and dual variables, The power and convenience of this approach are exhibited through a new, much simpler derivation of the Charnes-Cooper results for Khinchin-Kullback-Leibler statistical estimation [1], the immediate establishment of the C2duality for general distributions and its extensions to general linear inequality constraints, plus the development of a new two-person zero-sum game connection.
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