Evaluation of a special multivariate gamma distribution function

DOI10.1007/BFB0121111MaRDI QIDQ3745231zbMATH OpenOpenAlexFDO

Authors Tamás Szántai

Publication date 1986

Published in Mathematical Programming Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bfb0121111

zbMATH Keywords

numerical integrationMonte Carlo methodstochastic programmingLaguerre polynomialsseries expansionbivariate gamma probability distribution function

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Computation of special functions and constants, construction of tables (65D20) Stochastic programming (90C15) Statistical distribution theory (62E99)

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Cites work

• scientific article; zbMATH DE number 3712897 (Why is no real title available?)
• scientific article; zbMATH DE number 3528071 (Why is no real title available?)
• scientific article; zbMATH DE number 3599817 (Why is no real title available?)
• scientific article; zbMATH DE number 3373547 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• scientific article; zbMATH DE number 3081880 (Why is no real title available?)
• Bonferroni inequalities
• Computer generation of gamma random variates with non-integral shape parameters
• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• Correlations and Canonical Forms of Bivariate Distributions
• Inequalities for the probability of the occurrence of at least m out of n events
• Polynomial Expansions of Bivariate Distributions
• Three digit accurate multiple normal probabilities

Cited in

(13)

• On numerical calculation of probabilities according to Dirichlet distribution
• Differentiation of probability functions: The transformation method
• Computing the expected value of a concave, piecewise affine bivariate function for the gamma distribution
• Optimizing an objective function under a bivariate probability model
• Stochastic programming in water management: A case study and a comparison of solution techniques
• Computation of bivariate gamma and inverted beta distribution functions
• Probabilistic constraints via SQP solver: application to a renewable energy management problem
• Estimated stochastic programs with chance constraints
• Stochastic ultimate load analysis:models and solution methods¹
• Linear regression estimators for multinormal distributions in optimization of stochastic programming problems
• Bounds for probabilistic programming with application to a blend planning problem
• Differentiation formulas for probability functions: The transformation method
• A gradient formula for linear chance constraints under Gaussian distribution

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