We present an extension of a Monte Carlo integration method for computing the n -dimensional normal distribution function for evaluating the probabilities of some simple n -dimensional sets: general convex polyhedra, hyperellipsoids and circular cones. Computer results are presented to show the efficiency of the methods: for up to n h 20 dimensions four-digit accuracy can be obtained in a reasonable time.
No takes yet. Share an insight, caveat, or question.
István Deák (2003) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: