Computing probabilites of rectangles in case of multinormal distribution

DOI10.1080/00949658608810951MaRDI QIDQ3757362zbMATH OpenOpenAlexFDO

Authors I. Deák

Publication date 1986

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658608810951

zbMATH Keywords

multivariate normal distributionsstochastic programmingrectangle probability

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Distribution theory (60E99)

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Cites work

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• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• 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
• Solving stochastic programming problems with recourse including error bounds
• Three digit accurate multiple normal probabilities

Cited in

(15)

• 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
• Second-order differentiability of probability functions
• A probit model for multivariate random length ordinal data
• Generalized gradients for probabilistic/robust (probust) constraints
• Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
• scientific article; zbMATH DE number 3898022 (Why is no real title available?)
• (Sub-)gradient formulae for probability functions of random inequality systems under Gaussian distribution
• An algorithm for computing rectangular multinomial probabilities
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Efficient time/space algorithm to compute rectangular probabilities of multinomial, multivariate hypergeometric and multivariate Pólya distributions
• Evaluating nearly singular multinormal expectations with application to wave distributions
• A gradient formula for linear chance constraints under Gaussian distribution
• Fast computation of high-dimensional multivariate normal probabilities
• Rectangular and wedge-shaped multivariate normal probabilities

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