A FORTRAN program to produce minimum relative entropy distributions
Relative entropy minimization is a general approach of inferring a probability density function (pdf) from constraints which do not uniquely determine that density. In this paper, a general purpose computer program written in FORTRAN is provided that produces a univariate pdf from a series of constraints and a prior probability. Some guidelines for the selection of the prior are presented. The FORTRAN code is based on an algorithm that utilize, a Newton-Raphson approach. In addition, we use Gauss-Legendre quadrature for the determination of the integrals, Gauss elimination for matrix solution and a line search for the most optimal Newton step. We present examples of relative entropy minimization involving functions that are geometric moments of a variable x. With a uniform prior p(x), classic solutions of statistics are obtained. We also varied the nature of the prior for illustrative purposes. For the case where the constraints resemble powers of x and logarithmic transformations, minimum relative entropy produces the Gamma distribution. (C) 2003 Elsevier Ltd. All rights reserved.
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