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dc.contributor.authorDate, P-
dc.contributor.authorMamon, R-
dc.contributor.authorJalen, L-
dc.description.abstractA 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.extent139616 bytes-
dc.subjectscenario generationen
dc.subjectsemidefinite programmingen
dc.titleA new moment matching algorithm for sampling from partially specified symmetric distributionsen
dc.typeWorking Paperen
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Dept of Mathematics Research Papers
Mathematical Sciences

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