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From: "Siddhartha " <siddhsam@hotmail.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Simulation of 5 Random Variables with Sum Constraint
Date: Thu, 28 Mar 2013 20:08:06 +0000 (UTC)
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> When adding the bound constraints, there is some work to be done before apply this FEX. Please see this thread:
> www.mathworks.com/matlabcentral/newsreader/view_thread/324503
> 
> There, Roger also has derived a special formula for uniform random sample in a n-dimensional simplex.

Thanks for the info Bruno, but the simplex generation seems to strike me as a little odd, especially as seeing that there is no fixed sum constraint.


Let me redefine the problem better.

a1 = [10 20 35];
a2 = [13 19 35];
a3 = [12 22 35];
a4 = [15 20 35];
a5 = [11 19 35];

%Above are detailed the discrete possibilities for each of the 5 variables.
%There is a 30% chance of low and high, and a 40% chance of base.

Now, these random variables are basically percentages. So their sum can never exceed 100.
But from some data we know that they can actually never exceed 98. 

I think, maybe, one can use randfixedsum for each value from min(a1) + min(a2) + min(a3) + min(a4) + min(a5) until 98, in a for loop, but again - that seems inefficient and slow, and I'm having difficulty applying it to the discrete distribution above.