Technical Note—Masking Anstreicher’s linx Bound for Improved Entropy Bounds

Abstract

A fundamental NP-hard combinatorial-optimization in the area of statistical designs is the maximum-entropy sampling problem (MESP), which seeks to maximize Shannon's “differential entropy” over all subsets of a prespecified cardinality from a set of n Gaussian random variables. This problem has applications in many areas, such as the redesign of environmental-monitoring networks. Most algorithms for exact solution of MESP are branch-and-bound based, and one of the best upper bounds is based on Anstrecher's recent concave “linx relaxation” of differential entropy. A key paradigm for improving bounds is by “masking” the covariance of the random variables with a correlation matrix. The main result establishes that in the best case, the linx bound can be improved by an amount that is at least linear in n by masking. These and other recent results on the hot topic of MESP are leading to practical algorithms for exact solution of meaningful design problems in applied areas such as environmental statistics.