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Stochastic Programming 84 Part I pp 1–16Cite as

Evaluation of a special multivariate gamma distribution function

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Part of the book series: Mathematical Programming Studies ((MATHPROGRAMM,volume 27))

Abstract

In this paper we describe two different methods for the calculation of the bivariate gamma probability distribution function. One of them is based on a direct numerical integration and the other on a series expansion in terms of Laguerre polynomials. In the multivariate case we propose a Monte Carlo method. Our method can be used for other types of multivariate probability distributions too. In the special case of the multivariate normal distribution the computer experiments show that our method has the same efficiency as other known methods. In the last paragraph we briefly describe the possible applications of the proposed algorithms in stochastic programming.

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Authors and Affiliations

  1. L. Eötvös University of Budapest, Budapest, Hungary

    T. Szántai

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  1. T. Szántai
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Andras Prékopa Roger J.- B. Wets

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© 1986 The Mathematical Programming Society, Inc.

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Szántai, T. (1986). Evaluation of a special multivariate gamma distribution function. In: Prékopa, A., Wets, R.J.B. (eds) Stochastic Programming 84 Part I. Mathematical Programming Studies, vol 27. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0121111

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  • DOI: https://doi.org/10.1007/BFb0121111

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-00924-2

  • Online ISBN: 978-3-642-00925-9

  • eBook Packages: Springer Book Archive

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