Variability of random data

GAMS
1

Hello,

There are 714 hours of electricity price data, I make it random by specifying the mean and variance, how to make the variance decrease at each time step as we move forward?

Thank you for your support.

2

So instead of “p(h) = normal(30,5);” you could do

set h / h1*h714 /;
parameter mult_var(h); mult_var(h) = 1/ord(h);
parameter p(h); p(h) = normal(30, 5*mult_var(h));

You can probably refine the mult_var calculation with some other sequence to goes towards 0.

-Michael