Physics – Data Analysis – Statistics and Probability
Scientific paper
2001-11-14
Physics
Data Analysis, Statistics and Probability
Presented at MaxEnt91. Appeared in Maximum Entropy and Bayesian Methods, C.R. Smith, G.J. Erickson and Paul O. Neudorfer (Ed.)
Scientific paper
The classical Maximum Entropy (ME) problem consists of determining a probability distribution function (pdf) from a finite set of expectations of known functions. The solution depends on $N+1$ Lagrange multipliers which are determined by solving the set of nonlinear equations formed by the $N$ data constraints and the normalization constraint. In this short communication we give three Matlab programs to calculate these Lagrange multipliers. The first considers the general case where the functions can be any functions. The second considers the special case of power functions $x^n$. In this case the data are the geometrical moments of $p(x)$. The third considers the special case of Fourier series functions $\exp(-j n \omega x)$. In this case the data are the trigonometrical moments of $p(x)$. Some examples are also given to illustrate the usefullness of these programs.
No associations
LandOfFree
A Matlab Program to Calculate the Maximum Entropy Distributions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with A Matlab Program to Calculate the Maximum Entropy Distributions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Matlab Program to Calculate the Maximum Entropy Distributions will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-355860