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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/2524

Title: A new moment matching algorithm for sampling from partially specified symmetric distributions
Authors: Date, P
Mamon, R
Jalen, L
Keywords: scenario generation
semidefinite programming
Publication Date: 2008
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.
URI: http://bura.brunel.ac.uk/handle/2438/2524
Appears in Collections:Mathematical Science
Publications
Dept of Mathematics Research Papers

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