On the Geometry of Maximum Entropy Problems
Speaker: Michele Pavon, Università di Padova
Location: Warren Weaver Hall 1302
Date: Monday, April 14, 2014, 3:45 p.m.
We show that a simple geometric result suffices to derive the form of the optimal solution in a large class of finite and infinite-dimensional maximum entropy problems concerning probability distributions, spectral densities and covariance matrices. These include Burg's spectral estimation method and Dempster's covariance completion, as well as various recent generalizations of the above.