From: Florent Bresson <f_bresson_at_yahoo.fr>

Date: Mon 16 Oct 2006 - 16:17:51 GMT

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue Oct 17 08:28:56 2006

Date: Mon 16 Oct 2006 - 16:17:51 GMT

Yes, I would like every generated matrix to be drawn from a uniform distribution. Martin Maechler's solution was interesting but when I compute the product of the obtained matrix with any N-vector Y, the resulting vector is most of the time quite close to a vector like mean(Y)*rep(1,N).

Florent Bresson

- Message d'origine ---- De : Rolf Turner <rolf@erdos.math.unb.ca> À : f_bresson@yahoo.fr Cc : r-help@stat.math.ethz.ch Envoyé le : Lundi, 16 Octobre 2006, 17h50mn 24s Objet : Re: [R] Re : Generate a random bistochastic matrix

I don't think this idea has been suggested yet:

(1) Form all n! n x n permutation matrices,

say M_1, ..., M_K, K = n!.

(2) Generate K independent uniform variates

x_1, ..., x_k.

(3) Renormalize these to sum to 1,

x <- x/sum(x)

(4) Form the convex combination

M = x_1*M_1 + ... + x_K*M_K

M is a ``random'' doubly stochastic matrix.

The point is that the set of all doubly stochastic matrices is a convex set in n^2-dimensional space, and the extreme points are the permutation matrices. I.e. the set of all doubly stochastic matrices is the convex hull of the the permuation matrices.

The resulting M will *not* be uniformly distributed on this convex hull. If you want a uniform distribution something more is required. It might be possible to effect uniformity of the distribution, but my guess is that it would be a hard problem.

cheers, Rolf Turner rolf@math.unb.ca ______________________________________________R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue Oct 17 08:28:56 2006

Archive maintained by Robert King, hosted by
the discipline of
statistics at the
University of Newcastle,
Australia.

Archive generated by hypermail 2.1.8, at Mon 16 Oct 2006 - 23:30:10 GMT.

*
Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help.
Please read the posting
guide before posting to the list.
*