The Maximum Entropy Method Applied to Stationary Density Computation
Document Type
Article
Publication Date
2-1-2007
Department
Mathematics
School
Mathematics and Natural Sciences
Abstract
The maximum entropy method (maxent) is widely used in the context of the moment problem which appears naturally in many branches of physics and engineering; it is used to numerically recover the density with least bias from finitely many known moments. We introduce the basic idea behind this method and apply this method to approximating fixed densities of Markov operators in stochastic analysis and Frobenius-Perron operators in ergodic theory of chaotic dynamics. (c) 2006 Elsevier Inc. All rights reserved.
Publication Title
Applied Mathematics and Computation
Volume
185
Issue
1
First Page
658
Last Page
666
Recommended Citation
Ding, J.,
Mead, L. R.
(2007). The Maximum Entropy Method Applied to Stationary Density Computation. Applied Mathematics and Computation, 185(1), 658-666.
Available at: https://aquila.usm.edu/fac_pubs/2082