Three digit accurate multiple normal probabilities
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Multivariate analysis (62H99) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Computation of special functions and constants, construction of tables (65D20) Stochastic programming (90C15) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Software, source code, etc. for problems pertaining to numerical analysis (65-04)
Cites work
- scientific article; zbMATH DE number 3669690 (Why is no real title available?)
- scientific article; zbMATH DE number 3476465 (Why is no real title available?)
- scientific article; zbMATH DE number 3303655 (Why is no real title available?)
- scientific article; zbMATH DE number 3393603 (Why is no real title available?)
- A representation of multivariate normal probability integrals by integral transforms
- Computer Evaluation of the Multivariate Normal Integral
- Computer methods for sampling from gamma, beta, Poisson and binomial distributions
- Contributions to the theory of stochastic programming
- Fast procedures for generating stationary normal vectors
- Probability Integrals of Multivariate Normal and Multivariate $t^1$
Cited in
(20)- Iteration grain sized asynchronous parallel algorithms in optimization
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
- Evaluating nearly singular multinormal expectations with application to wave distributions
- A novel series expansion for the multivariate normal probability integrals based on Fourier series
- Monte-Carlo evaluation of multivariate normal probabilities
- Continuous approximation schemes for stochastic programs
- Computing probabilites of rectangles in case of multinormal distribution
- Fast computation of high-dimensional multivariate normal probabilities
- Extensions of stochastic optimization results to problems with system failure probability functions
- Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
- Efficiency of Monte Carlo computations in very high dimensional spaces
- Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
- Stochastic programming models for air quality management
- Stochastic programming
- Evaluation of a special multivariate gamma distribution function
- A joint chance-constrained programming model with row dependence
- Linear regression estimators for multinormal distributions in optimization of stochastic programming problems
- The F-system distribution as an alternative to multivariate normality: An application in multivariatemodels with qualitative dependent variables
- EMCS-SVR: hybrid efficient and accurate enhanced simulation approach coupled with adaptive SVR for structural reliability analysis
- A probit model for multivariate random length ordinal data
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