New sampling techniques for calculation of Dirichlet probabilities

MaRDI QIDQ2583301zbMATH OpenFDO

Authors Ashraf A. Gouda, Tamás Szántai

Publication date 16 January 2006

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

multivariate normal distributionDirichlet distributionimportance samplingcrude Monte Carlo simulationsequential conditioned sampling

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05)

Recommendations

• A new sampling method in the DIRECT algorithm
• Sampling Formulae Arising from Random Dirichlet Populations
• DIRICHLET-RELATED PROBABILITY PROBLEMS AND NEW TOOLS FOR SOLVING THEM
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• Algorithms and Computation

Cited in

(6)

• On numerical calculation of probabilities according to Dirichlet distribution
• Stochastic sensitivity analysis of concentration measures
• Simulation of some multivariate distributions related to the Dirichlet distribution with application to Monte Carlo simulations
• Quota sampling for multinomial via Dirichlet
• Scenario MIN-MAX optimization and the risk of empirical costs
• Direct sampling with a step function

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