Bregman proximal gradient method for linear optimization under entropic constraints

Abstract: In this paper, we present an efficient algorithm for solving a linear optimization problem with entropic constraints -- a class of problems that arises in game theory and information theory. Our analysis distinguishes between the cases of active and inactive constraints, addressing each using a Bregman proximal gradient method with entropic Legendre functions, for which we establish an ergodic convergence rate of $O(1/n)$ in objective values. For a specific cost structure, our framework provides a theoretical justification for the well-known Blahut-Arimoto algorithm. In the active constraint setting, we include a bisection procedure to approximate the strictly positive Lagrange multiplier. The efficiency of the proposed method is illustrated through comparisons with standard optimization solvers on a representative example from game theory, including extensions to higher-dimensional settings.