Generating 60 random samples that sum to 1, each subject to a unique lower and upper limit
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RaFa on 19 Jan 2023
Commented: Jan on 19 Jan 2023
I am looking for a method to generate uniform(ish) random samples for 60 variables that sum to 1, with each variable being subject to a unique lower and upper limit.
On the MATLAB file exchange, I found a algorithm capable of this, called randFixedLinearCombination. However, it is limited to ~20-25 dimensions before the hypercube array size becomes too large.
I should note that the samples generated does not have to be perfectly uniform, as they will be used for generating data for training a machine learning model. If necessary, one possible compromise would be to group the variables into e.g. 6 groups, with each group of 10 variables having the same lower and upper limits. I do not know if this approach would simplify the problem, just a comment.
Bruno Luong on 19 Jan 2023
I think 60 dimension is quite hard. randFixedLinearCombination is based on decomposing the convex set in non-overlapping simplex, randfixedsum muts raise to the power the # od dimension some to compute te conditioning probability. Both will have difficulty to handle dimension up to 60.
Isn't this a job for: https://www.mathworks.com/matlabcentral/fileexchange/9700-random-vectors-with-fixed-sum ?
% [x,v] = randfixedsum(n,m,s,a,b)
% This generates an n by m array x, each of whose m columns
% contains n random values lying in the interval [a,b], but
% subject to the condition that their sum be equal to s.
@Bruno Luong, @RaFa: Thanks. I misunderstood "with each variable being subject to a unique lower and upper limit." If all variables have different limits, the tool is not matching. Sorry.
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