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Comparison of two methods for approximation of probability distributions with prescribed marginals

Albert PérezMilan Studený — 2007


Let P be a discrete multidimensional probability distribution over a finite set of variables N which is only partially specified by the requirement that it has prescribed given marginals { P A ; A 𝒮 } , where 𝒮 is a class of subsets of N with 𝒮 = N . The paper deals with the problem of approximating P on the basis of those given marginals. The divergence of an approximation P ^ from P is measured by the relative entropy H ( P | P ^ ) . Two methods for approximating P are compared. One of them uses formerly introduced concept of...

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