Title :
Chessboard distributions
Author :
Ghosh, Soumyadip ; Henderson, Shane G.
Author_Institution :
Sch. of Operations Res. & Ind. Eng., Cornell Univ., Ithaca, NY, USA
Abstract :
We review chessboard distributions for modeling partially specified finite-dimensional random vectors. Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the distribution of a random vector. It is necessary to solve a potentially large linear program to set up a chessboard distribution, but random vectors can then be rapidly generated
Keywords :
linear programming; random processes; stochastic processes; chessboard distributions; covariance structure; distribution random vector; linear program; marginals; partially specified finite-dimensional random vector modeling; Costs; Industrial engineering; Job shop scheduling; Operations research; Random variables; Risk analysis; Stochastic processes; Tree graphs; Uncertainty; Vectors;
Conference_Titel :
Simulation Conference, 2001. Proceedings of the Winter
Conference_Location :
Arlington, VA
Print_ISBN :
0-7803-7307-3
DOI :
10.1109/WSC.2001.977307
