Entropy Pooling
The Entropy Pooling method solves the problem
\[q=\text{argmin}\left\{ x'\left(\ln x-\ln p\right)\right\},\]
subject to the constraints
\[\begin{split}Ax=b, \\Gx\leq h.\end{split}\]
The method was first introduced by Meucci [2008], while the code is implemented using notation from Vorobets [2021].
- entropy_pooling(p, A, b, G=None, h=None)
Function for computing Entropy Pooling posterior probabilities.
- Parameters
p (
ndarray
) – Prior probability vector with shape (S, 1).A (
ndarray
) – Equality constraint matrix with shape (M, S).b (
ndarray
) – Equality constraint vector with shape (M, 1).G (
Optional
[ndarray
]) – Inequality constraint matrix with shape (N, S).h (
Optional
[ndarray
]) – Inequality constraint vector with shape (N, 1).
- Return type
ndarray
- Returns
Posterior probability vector with shape (S, 1).