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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/2524Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Date, P | - |
| dc.contributor.author | Mamon, R | - |
| dc.contributor.author | Jalen, L | - |
| dc.coverage.spatial | 7 | en |
| dc.date.accessioned | 2008-07-24T11:56:01Z | - |
| dc.date.available | 2008-07-24T11:56:01Z | - |
| dc.date.issued | 2008 | - |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/2524 | - |
| dc.description.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. | en |
| dc.format.extent | 139616 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en | - |
| dc.subject | scenario generation | en |
| dc.subject | semidefinite programming | en |
| dc.title | A new moment matching algorithm for sampling from partially specified symmetric distributions | en |
| dc.type | Working Paper | en |
| Appears in Collections: | Publications Dept of Mathematics Research Papers Mathematical Sciences | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| possible_paper_stoch_prog_revised2.pdf | 136.34 kB | Adobe PDF | View/Open |
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