非线性l_1问题的极大熵方法

本文给出求解非线性l1问题的极大熵方法．介绍了极大熵函数的性质,极大熵算法及其收敛性,最后给出一个算例。     

压缩感知中信号重构的极大熵方法(英文)

本文针对压缩感知理论中BP算法的l1最优化问题,构造了一种新的信号重构的极大熵方法.极大熵方法克服了l1最优化问题的非光滑性,同时根据同伦方法构造极大熵函数的最优解序列来逼近全局最优稀疏解.数值实验表明极大熵方法是十分有效的信号重构方法.     

工程设计中约束规划熵方法的收敛性分析

极大熵方法在工程设计优化中得到成功的应用,但它的收敛性分析一直没有得到很好的解决．本文讨论了这个有意义的问题,在一般连续条件下解决了工程设计中的外点极大熵方法和内点极大熵方法的收敛性．     

Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean

Abstract

We consider the problem of recovering the risk-neutral probability distribution of the price of an asset, when the information available consists of the market price of derivatives of European type having the asset as underlying. The information available may or may not include the spot value of the asset as data. When we only know the true empirical law of the underlying, our method will provide a measure that is absolutely continuous with respect to the empirical law, thus making our procedure model independent. If we assume that the prices of the derivatives include risk premia and/or transaction prices, using this method it is possible to estimate those values, as well as the no-arbitrage prices. This is of interest not only when the market is not complete, but also if for some reason we do not have information about the model for the price of the underlying.     

基于最大熵原理的测量不确定度商概率建模及计算

测量数学模型建立后,测量不确定度评定需考虑输入量的不确定度及分布的传递性.若测量模型为幂指数积模型,通常先将输入量线性化,再采用合成方差的方法计算被测量的不确定度,方法计算简便,但未揭示不确定度随分布传递这一现象.针对问题,首先运用最大熵原理,计算测量仪器分辨力已知时,输入量的概率密度函数,其结果显示输入量服从矩形分布;其次重点推导了输入量与被测量之间为商概率模型时,被测量的概率密度函数、估计值和测量不确定度,并给出不确定度评定的具体步骤;最后利用恒流源测量高精密小电阻实例的对比分析,说明了该不确定度评定模型的可行性和有效性.