I am new to Yalmip and was wondering if anyone could recommend a solver to use for entropy (users.isy.liu.se/johanl/yalmip/pmwiki.php?n=Commands.Entropy
I am also interested in minimizing relative entropy (en.wikipedia.org/wiki/Kullback%E2%80%93Leibler_divergence
) and mutual information (en.wikipedia.org/wiki/Mutual_information
) - has anyone ever seen these implemented in Yalmip? If not, I may try writing them myself.
These are all convex optimization problems (at least under the constraints I will be using). I have tried using CVX, but I have run into problems because their solvers (including SeDuMi) are not suited to optimization of the exponential family (log, exp, etc.) - see Appendix D.1 of web.cvxr.com/cvx/cvx_usrguide.pdf.