M. E. Haji Abadi

[ 1 ] - Modeling of the Maximum Entropy Problem as an Optimal Control Problem and its Application to Pdf Estimation of Electricity Price

In this paper, the continuous optimal control theory is used to model and solve the maximum entropy problem for a continuous random variable. The maximum entropy principle provides a method to obtain least-biased probability density function (Pdf) estimation. In this paper, to find a closed form solution for the maximum entropy problem with any number of moment constraints, the entropy is consi...