[R] generate random numbers that sum up to 1

[Alberto Monteiro]

I found another method to generate this, in the Borg of all Wisdom:
http://en.wikipedia.org/wiki/Simplex

Alberto Monteiro

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Section Random Sampling:

The second method [[the first method is based on the Dirichlet 
distribution -- avfm]] to generate a random point on the unit 
simplex is based on the order statistics of the uniform distribution 
on the unit interval, and was popularized by Horst Kraemer. The 
algorithm is as follows:

Set p0 = 0 and pK=1. 

Generate K-1 uniform random draws pi from the open interval (0,1). 

Sort into ascending order the K+1 points p0, ..., pK. 

The K coordinates t1, ..., tK of the final point on the unit 
simplex are given by ti=pi-pi-1. 

It has been pointed out by Smith and Tromble that the second 
method is technically only valid if none of the differences 
pi-p(i-1) are equal to zero. In practice, it is sufficient 
to merely re-run the algorithm to generate a new set of 
points if this happens.