Efficiency of Monte Carlo computations in very high dimensional spaces

DOI10.1007/S10100-010-0166-3zbMATH Open1213.65014OpenAlexW2006797523MaRDI QIDQ539474FDOQ539474

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

Recommendations

• Monte carlo computation of some multivariate normal probabilities
• A Monte Carlo method for high dimensional integration
• Volume estimation by monte carlo methods^*
• Monte Carlo efficiency improvement by multiple sampling of conditioned integration variables
• Publication:4934368

zbMATH Keywords

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

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Subroutines for computing normal probabilities of sets -- computer experiences
• Three digit accurate multiple normal probabilities

Cited In (7)

• Efficient Monte Carlo for high excursions of Gaussian random fields
• Title not available (Why is that?)
• Stochastic analysis of maintenance process costs in the IT industry: a case study
• A parallel implementation of an \(O^\ast(n^4)\) volume algorithm
• Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
• Population Monte Carlo algorithm in high dimensions
• Title not available (Why is that?)

This page was built for publication: Efficiency of Monte Carlo computations in very high dimensional spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q539474)