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4 questions
0
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Minimizer of forward and reverse Kullback-Leibler divergence with sum constraints on marginals
Consider minimization of the Kullback Leibler divergence between two discrete distributions $p$ and $q$:
\begin{align*}
D_{KL} \left( p \parallel q \right) = \sum_i p_i \log \left( \frac{p_i}{q_i} \...
2
votes
1
answer
159
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Conic hull of a rectangle
I have a simple question that appeared in research: For a rectangle $S :=[a_1,b_1] \times[a_2,b_2] \times \dots \times [a_n,b_n] \subset \mathbb{R}^n$. Let $p_0 = (a_1,a_2,\dots,a_n)$, and define $p_i ...
4
votes
2
answers
734
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Fast projection onto a subspace
Given an $n$-dimensional vector $\mathbf{c}\in [0,1]^n$, let $\Delta_{\mathbf{c}}$ be the set of points $\{\mathbf{x}\in [0,1]^n: \langle \mathbf{c},\mathbf{x} \rangle \le 1\}$, where $\langle \mathbf{...
2
votes
0
answers
210
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Finding optimal linear transformation for intersection of convex polytopes
I previously posted this on MathSE and am now trying here.
I have the following situation, as shown in the following diagram:
$W=\{w_i\}_{i=1..|W|}$ is a set of vertices (show in diagram in blue) ...