Three digit accurate multiple normal probabilities
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Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Multivariate analysis (62H99) Software, source code, etc. for problems pertaining to numerical analysis (65-04) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Computation of special functions and constants, construction of tables (65D20) Stochastic programming (90C15)
Cites work
- 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
- 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?)
- Probability Integrals of Multivariate Normal and Multivariate t¹
Cited in
(22)- Stochastic programming
- A joint chance-constrained programming model with row dependence
- Monte-Carlo evaluation of multivariate normal probabilities
- Linear regression estimators for multinormal distributions in optimization of stochastic programming problems
- Continuous approximation schemes for stochastic programs
- Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
- EMCS-SVR: hybrid efficient and accurate enhanced simulation approach coupled with adaptive SVR for structural reliability analysis
- Stochastic programming models for air quality management
- Evaluating nearly singular multinormal expectations with application to wave distributions
- Extensions of stochastic optimization results to problems with system failure probability functions
- A novel series expansion for the multivariate normal probability integrals based on Fourier series
- The F-system distribution as an alternative to multivariate normality: An application in multivariatemodels with qualitative dependent variables
- Evaluation of a special multivariate gamma distribution function
- Computing probabilites of rectangles in case of multinormal distribution
- A probit model for multivariate random length ordinal data
- Iteration grain sized asynchronous parallel algorithms in optimization
- Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
- Efficiency of Monte Carlo computations in very high dimensional spaces
- A randomized method for handling a difficult function in a convex optimization problem, motivated by probabilistic programming
- Probability functions, differentiability, arbitrary laws and mixtures of ellipticals
- Fast computation of high-dimensional multivariate normal probabilities
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
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