A new moment matching algorithm for sampling from partially specified symmetric distributions
Operations Research Letters（2008）
摘要
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.
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关键词
semideflnite programming,new moment,semidefinite programming procedure,semidefinite programming,scenario generation,symmetric distribution,symmetric multivariate distribution,new algorithm,numerical example,working paper
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