A new moment matching algorithm for sampling from partially specified symmetric distributions
نویسندگان
چکیده
منابع مشابه
A new moment matching algorithm for sampling from partially specified symmetric distributions
The problem of sampling from a partially specified multivariate distribution arises in many different areas. The work presented here was motivated by stochastic programming based optimization models in operations research, in which the key computational challenge is to generate scenarios from a distribution of the underlying random variables. For a large number of random variables, the scenario...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2008
ISSN: 0167-6377
DOI: 10.1016/j.orl.2008.07.004