Multivariate Sampling with Explicit Correlation Induction for Practical Simulation and Optimization Studies.
AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH
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The goals of this research are to develop a methodology for generating values of multivariate random variables with specified marginal distributions and a specified population correlation structure, to demonstrate the use of this methodology in generating synthetic optimization problems, and to conduct a computational study where the influence of the population correlation structure on the performance of optimization solution methods is assessed.
- Operations Research