Technical Note—An Algorithm for a Class of Discrete Maximum Entropy Problems

This note presents an exact method for solving a class of maximum entropy problems used in a decision making context. These exact solutions should prove valuable for benchmark testing of the numerical nonlinear programming methods normally applied to a large class of problems that includes those studied here. The finite algorithm developed has a complexity of order O(n) for a problem with (2n + 1) constraints. An example involving the selection of best equipment for an oil spill problem is presented.