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Discrete Approximations of Probability Distributions

  • Allen C. Miller, III

    (Practical Innovations, Inc., Sunnyvale, California)

  • Thomas R. Rice

    (ANR Technology Co., Detroit)

Registered author(s):

    Practical limits on the size of most probabilistic models require that probability distributions be approximated by a few representative values and associated probabilities. This paper demonstrates that methods commonly used to determine discrete approximations of probability distributions systematically underestimate the moments of the original distribution. A new procedure based on gaussian quadrature is developed in this paper. It can be used to decrease the error in the approximation to any desired level.

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    File URL: http://dx.doi.org/10.1287/mnsc.29.3.352
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    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 29 (1983)
    Issue (Month): 3 (March)
    Pages: 352-362

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    Handle: RePEc:inm:ormnsc:v:29:y:1983:i:3:p:352-362
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