Publication:
Maxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theory

dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorGzyl Buchholz, Henryk
dc.contributor.authorMayoral, Silvia
dc.date.accessioned2019-01-14T12:23:21Z
dc.date.available2019-01-14T12:23:21Z
dc.date.issued2017-04-01
dc.description.abstractHere, we consider the following inverse problem: Determination of an increasing continuous function U(x) on an interval [a,b] from the knowledge of the integrals ∫U(x)dFXi(x)=πi where the Xi are random variables taking values on [a,b] and πi are given numbers. This is a linear integral equation with discrete data, which can be transformed into a generalized moment problem when U(x) is supposed to have a positive derivative, and it becomes a classical interpolation problem if the Xi are deterministic. In some cases, e.g., in utility theory in economics, natural growth and convexity constraints are required on the function, which makes the inverse problem more interesting. Not only that, the data may be provided in intervals and/or measured up to an additive error. It is the purpose of this work to show how the standard method of maximum entropy, as well as the method of maximum entropy in the mean, provides an efficient method to deal with these problems.en
dc.description.sponsorshipAll sources of funding of the study should be disclosed. Please clearly indicate grants that you have received in support of your research work. Clearly state if you received funds for covering the costs to publish in open access.en
dc.format.extent18
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationGzyl, H., Mayoral, S. (2017).Maxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theory. Entropy, 19 (4), 153.en
dc.identifier.doihttps://doi.org/10.3390/e19040153
dc.identifier.issn1099-4300
dc.identifier.publicationfirstpage153
dc.identifier.publicationissue4
dc.identifier.publicationlastpage171
dc.identifier.publicationtitleEntropyen
dc.identifier.publicationvolume19
dc.identifier.urihttps://hdl.handle.net/10016/27887
dc.identifier.uxxiAR/0000021778
dc.language.isoeng
dc.publisherMDPIen
dc.rights© 2017 by the authors. Licensee MDPI, Basel, Switzerland.
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEmpresaes
dc.subject.otherInverse problemsen
dc.subject.otherInterpolation problemsen
dc.subject.otherUncertain dataen
dc.subject.otherMaximum entropyen
dc.subject.otherUtility functionen
dc.titleMaxentropic Solutions to a Convex Interpolation Problem Motivated by Utility Theoryen
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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