Generating uniform random vectors over a simplex with implications to the volume of a certain polytope and to multivariate extremes

DOI10.1007/S10479-009-0567-7MaRDI QIDQ666374zbMATH OpenOpenAlexFDO

Authors Shmuel Onn, Ishay Weissman

Publication date 8 March 2012

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-009-0567-7

zbMATH Keywords

Pickands dependence functionsimplextriangulationconvex polytopemultivariate extreme value distributionrandom number generatorsuniform spacingsrandom vector generation

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

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• Simulation and the Monte Carlo Method
• Statistics of Extremes

Cited in

(8)

• Uniform sampling on the standard simplex
• Evolutionary game theory in mixed strategies: from microscopic interactions to kinetic equations
• PI-type fully symmetric quadrature rules on the 3-, \dots, 6-simplexes
• CONTAGION IN HETEROGENEOUS FINANCIAL NETWORKS
• A fast algorithm for generating a uniform distribution inside a high-dimensional polytope
• The restrictiveness of the hazard rate order and the moments of the maximal coordinate of a random vector uniformly distributed on the probability \(n\)-simplex
• Conditional distribution inverse method in generating uniform random vectors over a simplex
• Consensus-based optimization for multi-objective problems: a multi-swarm approach

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