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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} \...
TalTal The Eighth's user avatar
2 votes
1 answer
159 views

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 ...
patchouli's user avatar
  • 275
4 votes
2 answers
734 views

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{...
Penelope Benenati's user avatar
2 votes
0 answers
210 views

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) ...
Artemy's user avatar
  • 695