
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: > www.mathworks.com/matlabcentral/newsreader/view_thread/324503 > > There, Roger also has derived a special formula for uniform random sample in a ndimensional 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.

