An \(O(N)\) algorithm for computing expectation of \(N\)-dimensional truncated multi-variate normal distribution. II: computing moments and sparse grid acceleration
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Publication:2095529
DOI10.1007/s10444-022-09988-6MaRDI QIDQ2095529
Yichao Wu, Jingfang Huang, Chaowen Zheng, Zhuochao Tang
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
sparse grids; hierarchical algorithm; low-dimensional structure; low-rank structure; exponential covariance model; truncated multi-variate normal distribution
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