Optimizing Linear Functions of Random Variables having a Joint Multinomial or Multivariate Normal Distribution

DOI10.1080/03610918908812794zbMath0695.62039OpenAlexW1993918161MaRDI QIDQ3471354

J. P. de Los Reyes

Publication date: 1989

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918908812794

zbMATH Keywords

simplexmultinomialorthoschemesinclusion-exclusion methodsingle-period inventory modelapproximation with Bonferroni boundsequicorrelated-equicoordinate probability pointlimiting singular normalnumerical evaluation of the multivariate normal probability distributionoptimal upper alpha probability pointprobability-constrained programming

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Upper bound for singular normal probability integrals by integration over a hypersphere

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