2020/12/17 by A. E. Allahverdyan, Allahverdyan, A. E., Martirosyan, N. H.
Computer Science · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Data Analysis #FOS: Computer and information sciences #FOS: Physical sciences #Gaussian Processes and Bayesian Inference #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Statistical Mechanics (cond-mat.stat-mech) #Statistical Mechanics and Entropy #Statistics and Probability (physics.data-an)
paper · pdf · doi:10.48550/arxiv.2012.09430
openalex publication_date 2020/12/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Maximum entropy (MAXENT) method has a large number of applications in theoretical and applied machine learning, since it provides a convenient non-parametric tool for estimating unknown probabilities. The method is a major contribution of statistical physics to probabilistic inference. However, a systematic approach towards its validity limits is currently missing. Here we study MAXENT in a Bayesian decision theory set-up, i.e. assuming that there exists a well-defined prior Dirichlet density for unknown probabilities, and that the average Kullback-Leibler (KL) distance can be employed for deciding on the quality and applicability of various estimators. These allow to evaluate the relevance of various MAXENT constraints, check its general applicability, and compare MAXENT with estimators having various degrees of dependence on the prior, viz. the regularized maximum likelihood (ML) and the Bayesian estimators. We show that MAXENT applies in sparse data regimes, but needs specific types of prior information. In particular, MAXENT can outperform the optimally regularized ML provided that there are prior rank correlations between the estimated random quantity and its probabilities.