An efficient algorithm to compute maximum entropy densities

We describe an algorithm to efficiently compute maximum entropy densities, i.e. densities maximizing the Shannon entropy - [image omitted]  under a set of constraints [image omitted] . Our method is based on an algorithm by Zellner and Highfield, which has been found not to converge under a variety of circumstances. To demonstrate that our method overcomes these difficulties, we conduct numerous experiments for the special case gi(x) = xi, n = 4. An extensive table of results for this case and computer code are available on the World Wide Web