Extremum Problems With Total Variation Distance and Their Applications

@article{Charalambous2014ExtremumPW,
  title={Extremum Problems With Total Variation Distance and Their Applications},
  author={Charalambos D. Charalambous and Ioannis Tzortzis and Sergey Loyka and Themistoklis Charalambous},
  journal={IEEE Transactions on Automatic Control},
  year={2014},
  volume={59},
  pages={2353-2368}
}
The aim of this paper is to investigate extremum problems with pay-off being the total variation distance metric defined on the space of probability measures, subject to linear functional constraints on the space of probability measures, and vice-versa; that is, with the roles of total variation metric and linear functional interchanged. Utilizing concepts from signed measures, the extremum probability measures of such problems are obtained in closed form, by identifying the partition of the… CONTINUE READING

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