Parallel Computation of Multivariate Normal Probabilities
نویسندگان
چکیده
We present methods for the computation of multivari-ate normal probabilities on parallel/ distributed systems. After a transformation of the initial integral, an approximation can be obtained using Monte-Carlo or quasi-random methods. We propose a meta-algorithm for asynchronous sampling methods and derive eecient parallel algorithms for the computation of MVN distribution functions, including a method based on randomized Ko-robov and Richtmyer sequences. Timing results of the implementations using the MPI parallel environment are given.
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تاریخ انتشار 2007