Erratum to: A copula-based heuristic for scenario generation

In this section, we present a heuristic for the bivariate case of the average-deviation problem. Just like the MIP formulation (9) from the previous section, the heuristic works on the ranks of the copula and uses the difference between the cdfs as a measure of distance between the sample and the target. It is based on the observation from Eq. (2) that the rank cdf Cr (i, j) depends only on points {(i ′, j ′) : i ′ ≤ i & j ′ ≤ j} of the grid. This means that we can construct the sample ‘row-wise’: for each rank j ,