A MAXIMUM ENTROPY APPROACH TO CONSTRAINED NON-LINEAR PROGRAMMING
- 1 October 1987
- journal article
- research article
- Published by Taylor & Francis in Engineering Optimization
- Vol. 12 (3) , 191-205
- https://doi.org/10.1080/03052158708941094
Abstract
The paper explores the use of the Shannon (informational) entropy measure and Jaynes's maximum entropy formalism in the solution of constrained non-linear programming problems. Through a surrogate constraint approach an entropy based update formula for the surrogate multipliers is derived. A numerical example of the method is presented. Some information-theoretic interpretations of mathematical programming are explored. Finally, through the use or surrogate duals the method is extended into an entropy augmented Lagrangean formulation.Keywords
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