ENTROPY MINIMIZATION WITH LATTICE BOUNDS

We characterize solutions to the problem of minimizing a convex integr al objective function subject to a finite number of linear constraints and requiring that the feasible functions lie in a strip [alpha,beta] where alpha and beta are extended real valued measurable functions. W e use the duality theory of J. M. Borwein and A. S. Lewis (Math. Progr amming, Series B 57 (1992), 15-48, 49-84) to show that the solutions a re of the usual form, but truncated where they leave the strip. (C) 19 94 Academic Press, Inc.