Efficiency of Monte Carlo computations in very high dimensional spaces

DOI10.1007/S10100-010-0166-3MaRDI QIDQ539474zbMATH OpenOpenAlexFDO

Authors I. Deák

Publication date 30 May 2011

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-010-0166-3

zbMATH Keywords

Monte Carlo methodsmultidimensional normal distributioncomparison of performancesefficiency of estimatorsprobabilities of convex sets

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 995813 (Why is no real title available?)
• scientific article; zbMATH DE number 1241478 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Subroutines for computing normal probabilities of sets -- computer experiences
• Three digit accurate multiple normal probabilities

Cited in

(7)

• scientific article; zbMATH DE number 4160064 (Why is no real title available?)
• Efficient Monte Carlo for high excursions of Gaussian random fields
• Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
• scientific article; zbMATH DE number 1779861 (Why is no real title available?)
• Stochastic analysis of maintenance process costs in the IT industry: a case study
• A parallel implementation of an \(O^\ast(n^4)\) volume algorithm
• Population Monte Carlo algorithm in high dimensions

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