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Computation of Multiple Normal Probabilities

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Recent Results in Stochastic Programming

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 179))

Summary

The author summarizes mainly his own results obtained in the past few years concerning the Monte Carlo computation of the values of the multidimensional normal probability distribution function. Conventional numerical methods and these Monte Carlo techniques are discussed and compared. The othononormalized estimators turn out to provide us with the most powerful technique that gives two digits accuracy in 1 sec for the 20 dimensional and in 10 sec’s for the 50 dimensional case.

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References

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Authors
  1. I. Deak
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Editor information

Editors and Affiliations

  1. Institut für Operations Research und mathematische Methoden der Wirtschaftswissenschaften, Universität Zürich, Weinbergstraße 59, CH-8006, Zürich, Schweiz

    Peter Kall

  2. Computer and Automation Institute, Hungarian Academy of Sciences, XI. Kende utca 13-17, Budapest, 1502, Hungary

    András Prékopa

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© 1980 Springer-Verlag Berlin Heidelberg

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Deak, I. (1980). Computation of Multiple Normal Probabilities. In: Kall, P., Prékopa, A. (eds) Recent Results in Stochastic Programming. Lecture Notes in Economics and Mathematical Systems, vol 179. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-51572-9_8

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  • DOI: https://doi.org/10.1007/978-3-642-51572-9_8

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-10013-3

  • Online ISBN: 978-3-642-51572-9

  • eBook Packages: Springer Book Archive

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