| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1143474 | Operations Research Letters | 2008 | 4 Pages |
Abstract
A new algorithm is proposed for generating scenarios from a partially specified symmetric multivariate distribution. The algorithm generates samples which match the first two moments exactly, and match the marginal fourth moments approximately, using a semidefinite programming procedure. The performance of the algorithm is illustrated by a numerical example.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
P. Date, R. Mamon, L. Jalen,