期刊
OPERATIONS RESEARCH LETTERS
卷 36, 期 6, 页码 669-672出版社
ELSEVIER
DOI: 10.1016/j.orl.2008.07.004
关键词
Scenario generation; Semidefinite programming
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. (C) 2008 Elsevier B.V. All rights reserved.
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