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Topic: Simulation of 5 Random Variables with Sum Constraint
Replies: 8   Last Post: Apr 3, 2013 3:05 AM

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Steven Lord

Posts: 17,945
Registered: 12/7/04
Re: Simulation of 5 Random Variables with Sum Constraint
Posted: Mar 27, 2013 5:22 PM
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"Siddhartha " <siddhsam@hotmail.com> wrote in message
> Let's say I have 5 random variables that are discrete. Each one of them
> can possess a low, base and high value somewhere between 15 and 35.

So each variable can take on one of three values, and the three values each
variable can take can be different for each variable?

> I know their sum can never exceed 98. What's the best way to simulate
> this? Is the rejection method good? The sudden drop in the pdf of the sum
> bothers me, not sure if that's right, but it maybe.

If you have such a small number of different possible combinations, generate
the complete list of possible combinations and use RANDI (with replacement)
or RANDPERM (without replacement) to select from the list.


Steve Lord
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