An algorithm for information projection to an affine subspace

Abstract

We investigate an algorithm to find a point of an affine subspace in the positive orthant such that it is the closest one to the original point with respect to the Kullback–Leibler distance. This problem is solved by means of the classical Darroch–Ratcliff algorithm (see [1]), while we use ideas of the information geometry founded by Chentsov (see [2]) and Csiszar (see [3]). The main theorem of the present work proves the convergence of that algorithm (the method of the proof is different from previous ones). The proposed algorithm can be applied, e.g., to find the maximum likelihood estimates in an exponential family (see the last section of the paper).