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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 28, 2013 10:50 AM
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"Siddhartha " <siddhsam@hotmail.com> wrote in message
> Thank you! This is awesome.
> But I also foresee that this problem will extend for me to 20 variables.

I would process the variables in decreasing order of maximum value, and stop
processing when you know that none of the possible combinations of values
for the remaining variables can satisfy your sum constraint. That should
allow you to cut out significant chunks of the combination space.

> Also, we may eventually get enough information to model the random numbers
> as continuous.

That's different; I believe there are some submissions on the File Exchange
for this case. Take a look at RANDFIXEDSUM.


Steve Lord
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