Efficiency of Monte Carlo computations in very high dimensional spaces

DOI10.1007/S10100-010-0166-3zbMath1213.65014OpenAlexW2006797523MaRDI QIDQ539474

István 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

zbMATH Keywords

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

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites Work

• Three digit accurate multiple normal probabilities
• Subroutines for computing normal probabilities of sets -- computer experiences
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