A FAST HEURISTIC METHOD FOR POLYNOMIAL MOMENT PROBLEMS WITH BOLTZMANN-SHANNON ENTROPY

The authors consider the best entropy estimate to a nonnegative densit y xOBAR on R(m), given some of its algebraic or trigonometric moments. Using the special structure of this kind of problem, a useful linear relationship among the moments is derived. A simple algorithm then pro vides a farily good estimate of xOBAR by just solving a couple of line ar systems. Numerical computations make the algorithm seem reasonable although the theoretical convergence is still an open problem. Some no tes about the error bounds are given at the end of the paper.