The space of convex combinations of things. Hacks for it.

This one is apparently “folk wisdom”.

But say you wish to simulate a vector drawn uniformly from the \(n\)-simplex.

simulate \(n\) random uniform variables on the unit interval, \((u_1,_u_2,\dots,u_n)\)

Sort them in decreasing order, \((u'_1,_u'_2,\dots,u'_n)\)

Your random vector is \((u'_1-0, u'_2-u'_1, u'_3-u'_2,\dots,u'_n-u'_{n-1})\)

This surprisingly relates to Dirichlet variables. Can you see how?

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