Parallel Computation of Multivariate Normal Probabilities

by Elise de Doncker , Alan Genz , Manuel Ciobanu

Citations:

72 - 6 self

Datum	Value	Source
TITLE	Parallel Computation of Multivariate Normal Probabilities	SVM HeaderParse 0.1
ABSTRACT	We present methods for the computation of multivariate normal probabilities on parallel / distributed systems. After a transformation of the initial integral, an approximation can be obtained using Monte-Carlo or quasirandom methods. We propose a meta-algorithm for asynchronous sampling methods and derive efficient parallel algorithms for the computation of MVN distribution functions, including a method based on randomized Korobov and Richtmyer sequences. Timing results of the implementations using the MPI parallel environment are given. 1	SVM HeaderParse 0.1
CITATIONS	7 found	ParsCit 1.0