Computing probabilites of rectangles in case of multinormal distribution
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- scientific article; zbMATH DE number 3898022
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Cites work
- An economical method for random number generation and a normal generator
- Computational methods for solving two-stage stochastic linear programming problems
- Contributions to the theory of stochastic programming
- scientific article; zbMATH DE number 3136275 (Why is no real title available?)
- scientific article; zbMATH DE number 3537439 (Why is no real title available?)
- scientific article; zbMATH DE number 3546668 (Why is no real title available?)
- scientific article; zbMATH DE number 3393603 (Why is no real title available?)
- Solving stochastic programming problems with recourse including error bounds
- Three digit accurate multiple normal probabilities
Cited in
(18)- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Linear regression estimators for multinormal distributions in optimization of stochastic programming problems
- Rectangular and wedge-shaped multivariate normal probabilities
- Second-order differentiability of probability functions
- Evaluating nearly singular multinormal expectations with application to wave distributions
- A gradient formula for linear chance constraints under Gaussian distribution
- Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
- Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
- An algorithm for computing rectangular multinomial probabilities
- scientific article; zbMATH DE number 3898022 (Why is no real title available?)
- A probit model for multivariate random length ordinal data
- Generalized gradients for probabilistic/robust (probust) constraints
- (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
- A randomized method for handling a difficult function in a convex optimization problem, motivated by probabilistic programming
- Random descent steps in a probability maximization scheme
- Probability functions, differentiability, arbitrary laws and mixtures of ellipticals
- Efficient time/space algorithm to compute rectangular probabilities of multinomial, multivariate hypergeometric and multivariate Pólya distributions
- Fast computation of high-dimensional multivariate normal probabilities
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