Chessboard distributions

Authors:
Soumyadip Ghosh;Shane G. Henderson
Affiliations:
Cornell University, Ithaca, NY;Cornell University, Ithaca, NY
Venue:
Proceedings of the 33nd conference on Winter simulation
Year:
2001

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Abstract

We review chessboard distributions for modeling partially specified finite-dimensional random vectors. Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the distribution of a random vector. It is necessary to solve a potentially large linear program to set up a chessboard distribution, but random vectors can then be rapidly generated.