Conditional distribution inverse method in generating uniform random vectors over a simplex

A. Moeini, Babak Abbasi, H. Mahlooji

Research output: Contribution to journalArticleResearchpeer-review

7 Citations (Scopus)

Abstract

Motivated by numerous applications in Monte Carlo techniques and as of late, in deriving non dominated solutions in multi-objective optimization problems, this article addresses generating uniform random variables (λi, λi ≥ 0, i = 1,..., n) over a simplex in ℝ2 (n ≥ 2), i.e., Σi=1 n λi = 1. In this article, first, conditional distribution of λi where Σi=1 n λi = 1 is derived and then inverse method is applied to generate random variables.

Original languageEnglish
Pages (from-to)685-693
Number of pages9
JournalCommunications in Statistics - Simulation and Computation
Volume40
Issue number5
DOIs
Publication statusPublished - May 2011
Externally publishedYes

Keywords

  • Conditional probability distribution
  • Simplex
  • Uniform random vector generation

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