Author(s):
1. Zohre Nikooravesh:
Department of Basic Sciences, Birjand University of Technology, Birjand, Iran
2. Javad Tayyebi:
Department of Industrial Engineering, Birjand University of Technology, Birjand, Iran
Abstract:
The aim of this paper is to estimate probability distribution functions with maximum entropy and known quantiles. The paper formulates the problem as a nonlinear optimization problem, and converts it into a system of nonlinear equations by Lagrange multipliers method. Finally, an efficient method is proposed to obtain a solution of the nonlinear system. The method needs to solve a linear programming problem in each iteration. Since linear programming problems can be solved in a reasonable time, our proposed method is faster than generic methods of solving nonlinear programming problems. Several computational experiment are provided to demonstrate the performance and validation of our proposed method.
Page(s):
839-849
Published:
Journal: Pakistan Journal of Statistics and Operation Research, Volume: 16, Issue: 4, Year: 2020
Keywords:
Linear programming
,
Maximum entropy problem
,
Lagrange multipliers method
,
Nonlinear optimization
References:
References are not available for this document.
Citations
Citations are not available for this document.