Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6894708 | European Journal of Operational Research | 2018 | 5 Pages |
Abstract
A paper by Ponomareva, Roman, and Date proposed a new algorithm to generate scenarios and their probability weights matching exactly the given mean, the covariance matrix, the average of the marginal skewness, and the average of the marginal kurtosis of each individual component of a random vector. In this short communication, this algorithm is questioned by demonstrating that it could lead to spurious scenarios with negative probabilities. A necessary and sufficient condition for the appropriate choice of algorithm parameters is derived to correct this issue.
Keywords
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Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Juan Pablo Contreras, Paul Bosch, Mauricio Herrera,