Next Article in Journal
Delayed-Compensation Algorithm for Second-Order Leader-Following Consensus Seeking under Communication Delay
Next Article in Special Issue
Quantifying Redundant Information in Predicting a Target Random Variable
Previous Article in Journal / Special Issue
Tail Risk Constraints and Maximum Entropy
Article Menu

Export Article

Open AccessArticle
Entropy 2015, 17(6), 3738-3751;

Maximum Entropy Rate Reconstruction of Markov Dynamics

Department of Computer Science, University of Geneva, Route de Drize 7, 1227 Geneva, Switzerland
Department of Theoretical Physics, University of Geneva, Quai Ernest-Ansermet 24,1211 Geneva, Switzerland
Author to whom correspondence should be addressed.
Academic Editor: Rick Quax
Received: 5 March 2015 / Revised: 2 June 2015 / Accepted: 4 June 2015 / Published: 8 June 2015
(This article belongs to the Special Issue Information Processing in Complex Systems)
Full-Text   |   PDF [460 KB, uploaded 8 June 2015]


We develop ideas proposed by Van der Straeten to extend maximum entropy principles to Markov chains. We focus in particular on the convergence of such estimates in order to explain how our approach makes possible the estimation of transition probabilities when only short samples are available, which opens the way to applications to non-stationary processes. The current work complements an earlier communication by providing numerical details, as well as a full derivation of the multi-constraint two-state and three-state maximum entropy transition matrices. View Full-Text
Keywords: maximum entropy principle; parameter estimation; Markov chain maximum entropy principle; parameter estimation; Markov chain
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Chliamovitch, G.; Dupuis, A.; Chopard, B. Maximum Entropy Rate Reconstruction of Markov Dynamics. Entropy 2015, 17, 3738-3751.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top