In information theory — as well as in the adjacent fields of statistics, machine learning, artificial intelligence, signal processing and pattern recognition — many flexibilizations of the omnipresent Kullback-Leibler information distance (relative entropy) and of the closely related Shannon entropy have become frequently used tools. To tackle corresponding constrained minimization (respectively maximization) problems by a newly developed dimension-free bare (pure) simulation method, is the main goal of this paper. Almost no assumptions (like convexity) on the set of constraints are needed, within our discrete setup of arbitrary dimension, and our method is precise (i.e., converges in the limit). As a side effect, we also derive an innovative way of constructing new useful distances/divergences. To illustrate the core of our approach, we present numerous solved cases. The potential for wide-spread applicability is indicated, too; in particular, we deliver many recent references for uses of the involved distances/divergences and entropies in various different research fields (which may also serve as an interdisciplinary interface).

This paper extends the empirical minimum divergence approach for models, which satisfy linear constraints with respect to the probability measure of the underlying variable (moment constraints) to the case where such constraints pertain to its quantile measure (called here semiparametric quantile models). The case when these constraints describe shape conditions as handled by the L-moments is considered, and both the description of these models as well as the resulting nonclassical minimum divergence procedures are presented. These models describe neighbourhoods of classical models used mainly for their tail behavior, for example, neighborhoods of Pareto or Weibull distributions, with which they may share the same first L-moments. The properties of the resulting estimators are illustrated by simulated examples comparing maximum likelihood estimators on Pareto and Weibull models to the minimum chi-square empirical divergence approach on semiparametric quantile models, and others.