An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution II: computing moments and sparse grid acceleration

In a previous paper (Huang et al., Advances in Computational Mathematics 47(5):1–34, 2021), we presented the fundamentals of a new hierarchical algorithm for computing the expectation of a N -dimensional function H ( X ) where X satisfies the truncated multi-variate normal (TMVN) distribution. The a...

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Bibliographic Details
Published in:	Advances in computational mathematics Vol. 48; no. 6
Main Authors:	Zheng, Chaowen, Tang, Zhuochao, Huang, Jingfang, Wu, Yichao
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.12.2022 Springer Nature B.V
Subjects:	Algorithms Availability Computation Computational mathematics Computational Mathematics and Numerical Analysis Computational Science and Engineering Covariance matrix Dimensional analysis Independent variables Mathematical and Computational Biology Mathematical Modeling and Industrial Mathematics Mathematical models Mathematics Mathematics and Statistics Normal distribution Optimization Visualization 65D30 Sparse grids 03D20 65T40 Low-dimensional structure 41A30 Truncated multi-variate normal distribution 62H10 65C60 Exponential covariance model Hierarchical algorithm Low-rank structure
ISSN:	1019-7168, 1572-9044
Online Access:	Get full text
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