Accession Number:

ADA031398

Title:

Extremal Principles and Optimization Dualities for Khinchin-Kullback-Leibler Estimation.

Descriptive Note:

Research rept.,

Corporate Author:

TEXAS UNIV AT AUSTIN CENTER FOR CYBERNETIC STUDIES

Personal Author(s):

Report Date:

1976-04-01

Pagination or Media Count:

18.0

Abstract:

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, 1 inequality attainment, 2 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 C2 duality for general distributions and its extensions to general linear inequality constraints, plus the development of a new two-person zero-sum game connection.

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE