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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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 Siddhartha Posts: 6 Registered: 11/19/12
Re: Simulation of 5 Random Variables with Sum Constraint
Posted: Mar 28, 2013 4:08 PM

> When adding the bound constraints, there is some work to be done before apply this FEX. Please see this thread:
>
> There, Roger also has derived a special formula for uniform random sample in a n-dimensional simplex.

Thanks for the info Bruno, but the simplex generation seems to strike me as a little odd, especially as seeing that there is no fixed sum constraint.

Let me redefine the problem better.

a1 = [10 20 35];
a2 = [13 19 35];
a3 = [12 22 35];
a4 = [15 20 35];
a5 = [11 19 35];

%Above are detailed the discrete possibilities for each of the 5 variables.
%There is a 30% chance of low and high, and a 40% chance of base.

Now, these random variables are basically percentages. So their sum can never exceed 100.
But from some data we know that they can actually never exceed 98.

I think, maybe, one can use randfixedsum for each value from min(a1) + min(a2) + min(a3) + min(a4) + min(a5) until 98, in a for loop, but again - that seems inefficient and slow, and I'm having difficulty applying it to the discrete distribution above.

Date Subject Author
3/27/13 Siddhartha
3/27/13 Steven Lord
3/27/13 Siddhartha
3/28/13 Steven Lord
3/28/13 Bruno Luong
3/28/13 Siddhartha
3/28/13 Bruno Luong
4/1/13 Siddhartha
4/3/13 Bruno Luong