Computing probabilites of rectangles in case of multinormal distribution

DOI10.1080/00949658608810951zbMath0621.65146OpenAlexW2006753370MaRDI QIDQ3757362

István Deák

Publication date: 1986

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658608810951

zbMATH Keywords

stochastic programmingmultivariate normal distributionsrectangle probability

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Stochastic programming (90C15) Distribution theory (60E99) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

Second-order differentiability of probability functions ⋮ A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution ⋮ Evaluating nearly singular multinormal expectations with application to wave distributions ⋮ Generalized gradients for probabilistic/robust (probust) constraints ⋮ Estimation method of multivariate exponential probabilities based on a simplex coordinates transform ⋮ Linear regression estimators for multinormal distributions in optimization of stochastic programming problems ⋮ Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations ⋮ A probit model for multivariate random length ordinal data ⋮ (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution

Cites Work

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• Three digit accurate multiple normal probabilities
• An economical method for random number generation and a normal generator
• Computational methods for solving two-stage stochastic linear programming problems
• Solving stochastic programming problems with recourse including error bounds
• Contributions to the theory of stochastic programming

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