Joint probabilities under expected value constraints, transportation problems, maximum entropy in the mean, and geometry in the space of probabilities

TL;DR

This paper explores advanced methods for determining joint probabilities and transportation policies under various constraints, utilizing maximum entropy principles and geometric structures to improve solution approaches and understand the probability space.

Contribution

It introduces a maximum entropy in the mean approach to solve cost-constrained transportation problems and investigates the geometric structure of the probability space using Riemannian metrics.

Findings

Maximum entropy method effectively solves cost-constrained transportation problems.

Geometric analysis reveals structure of the space of transportation policies.

Interior point-like algorithms are derived from the entropy approach.

Abstract

There are interesting extensions of the problem of determining a joint probability with known marginals. On the one hand, one may impose size constraints on the joint probabilities. On the other, one may impose additional constraints like the expected values of known random variables. If we think of the marginal probabilities as demands or supplies, and of the joint probability as the fraction of the supplies to be shipped from the production sites to the demand sites, instead of joint probabilities we can think of transportation policies. Clearly, fixing the cost of a transportation policy is equivalent to an integral constraints upon the joint probability. We will show how to solve the cost constrained transportation problem by means of the method of maximum entropy in the mean. We shall also show how this approach leads to an interior point like method to solve the associated linear programming problem. We shall also investigate some geometric structure the space of transportation policies, or joint probabilities or pixel space, using a Riemannian structure associated with the dual of the entropy used to determine bounds between probabilities or between transportation policies.