Entropy maximization

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An entropy maximization problem is a convex optimization problem of the form

maximize f_0(x) = - \sum_{i=1}^n x_i \log x_i
subject to Ax \leq b, \quad \mathbf{1}^T x  =1

where x \in \mathbb{R}^n_{++} is the optimization variable, A\in\mathbb{R}^{m\times n} \ and  b \in\mathbb{R}^m \ are problem parameters, and \mathbf{1} denotes a vector whose components are all 1.

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