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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 |
| Issue 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: | 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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