| Article ID: | iaor20102905 |
| Volume: | 36 |
| Issue: | 6 |
| Start Page Number: | 669 |
| End Page Number: | 672 |
| Publication Date: | Nov 2008 |
| Journal: | Operations Research Letters |
| Authors: | Date P, Mamon R, Jalen L |
A new algorithm is proposed for generating scenarios from a partially specified symmetric multivariate distribution. The algorithm generates samples which match the first two moments exactly, and match the marginal fourth moments approximately, using a semidefinite programming procedure. The performance of the algorithm is illustrated by a numerical example.