Minimum cross-entropy distributions on Wasserstein balls and their applications

Abstract

Given a prior probability density $p$ on a compact set $K$ we characterize the probability distribution $q_{\delta}^*$ on $K$ contained in a Wasserstein ball $B_{\delta}(\mu)$ centered in a given discrete measure $\mu$ for which the relative-entropy $H(q,p)$ achieves its minimum. This characterization gives us an algorithm for computing such distributions efficiently