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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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