Abstract

In this paper we discuss the process of building a joint probability distribution from an input set of low-dimensional probability distributions. Since the solution of the problem for a consistent input set of probability distributions is known we concentrate on a setup where the input probability distributions are inconsistent. In this case the iterative proportional fitting procedure, which converges in the consistent case, tends to come to cycles. We propose a new algorithm that converges even in inconsistent case. The important property of the algorithm is that it can be efficiently implemented exploiting decomposability of considered distributions.