Summary
Computer algorithms are presented for evaluating the multidimensional normal distribution function by Monte Carlo techniques. The computation of such probabilities is frequently required in stochastic programming models and in multivariate statistical problems. Using a medium size computer, three significant digits can be obtained up to ten dimensions in five seconds, up to twenty dimensions in one minute and up to fifty dimensions in ten minutes. Results of the detailed computer experiences are also reported together with some numerical examples.
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Deák, I. Three digit accurate multiple normal probabilities. Numer. Math. 35, 369–380 (1980). https://doi.org/10.1007/BF01399006
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DOI: https://doi.org/10.1007/BF01399006