Efficient numerical methods for entropy-linear programming problems
Александр Владимирович Гасников, E. B. Gasnikova, Yu. E. Nesterov, Alexey Vyacheslavovich Chernov · Computational Mathematics and Mathematical Physics · 2016
Entropy-linear programming (ELP) problems arise in various applications. They are usually written as the maximization of entropy (minimization of minus entropy) under affine constraints. In this work, new numerical methods for solving ELP problems are proposed. Sharp estimates for the convergence rates of the proposed methods are established. The approach described applies to a broader class of minimization problems for strongly convex functionals with affine constraints.