An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution. II: computing moments and sparse grid acceleration

DOI10.1007/S10444-022-09988-6MaRDI QIDQ2095529zbMATH OpenOpenAlexFDO

Authors Chaowen Zheng, Zhuochao Tang, Jingfang Huang, Yichao Wu

Publication date 17 November 2022

Published in Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10444-022-09988-6

zbMATH Keywords

exponential covariance modelhierarchical algorithmlow-dimensional structurelow-rank structuresparse gridstruncated multi-variate normal distribution

Mathematics Subject Classification ID

Recursive functions and relations, subrecursive hierarchies (03D20) Approximation by other special function classes (41A30) Multivariate distribution of statistics (62H10) Numerical integration (65D30) Numerical methods for trigonometric approximation and interpolation (65T40)

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Cites work

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• A fast randomized eigensolver with structured LDL factorization update
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• A sparse matrix arithmetic based on \({\mathfrak H}\)-matrices. I: Introduction to \({\mathfrak H}\)-matrices
• An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution. I: Fundamentals
• Efficient spectral sparse grid methods and applications to high-dimensional elliptic problems
• Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities
• Hierarchical interpolative factorization for elliptic operators: differential equations
• High dimensional polynomial interpolation on sparse grids
• scientific article; zbMATH DE number 3321507 (Why is no real title available?)
• Numerical integration using sparse grids
• Robust Approximate Cholesky Factorization of Rank-Structured Symmetric Positive Definite Matrices
• Spatially adaptive sparse grids for high-dimensional data-driven problems
• Stochastic Spectral Galerkin and Collocation Methods for PDEs with Random Coefficients: A Numerical Comparison
• Why Are Big Data Matrices Approximately Low Rank?

Cited in

(4)

• Fast simulation of hyperplane-truncated multivariate normal distributions
• Efficient algorithms for generating truncated multivariate normal distributions
• An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution. I: Fundamentals
• A numerical algorithm for computing exact distribution of a truncated random variable when truncation points are assigned point masses

Describes a project that uses

Uses Software

• Sparse grids Matlab kit

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