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I need to generate 3 discrete random variables whose sum is equal to a specified value (fixed) and is uniformly distributed, however each component of the sum has specified bounds. For example, $$ X_1 + X_2 + X_3 = S $$ where $a_1 \leq X_1 \leq b_1$, $a_2 \leq X_2 \leq b_2$, and $a_3 \leq X_3 \leq b_3$.

I found this Random Vectors with Fixed Sum, but it only allows a single bound to be given that then applies to all the $X$s.

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1 Answer 1

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Make it more general!

  1. Generate a random $X_1$ value between $a_1$ and $b_1$;
  2. Generate a random $X_2$ value between $a_2$ and $b_2$;
  3. Compute $X_3$ as $S - X_1 - X_2$ and check whether the generated number belongs to the interval $a_3$ and $b_3$. If the value belongs to the interval return the three generated values, restart from step 1. otherwise

You can extend the algorithm to a generic $R^n$ space

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