Journal
ANNALS OF OPERATIONS RESEARCH
Volume 100, Issue -, Pages 103-122Publisher
SPRINGER
DOI: 10.1023/A:1019215116991
Keywords
multidimensional normal distribution; stochastic programming; reliability theory
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A subroutine package. called NORSET, has been prepared. that-via Monte Carlo integration-is suitable for evaluating several types of probabilities related To the n-dimensional normal distribution. The following probabilities can be computed: the distribution function value, the probabilities of rectangles, convex polyhedra, hyperellipsoids and circular cones in case of normal distribution. Probabilities accurate to three digits can be computed in less than 0.3 sec for up to 20 dimensions and in less than 10 sees for up to 100 dimensions. The description of the subroutines, results of computer testing and experimentations together with the conclusions are presented here.
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