An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution I: fundamentals

Mathematics

• Matrix 100%
• Diagonalmatrix 100%
• Multivariate Normal Distribution 100%
• Fast Fourier Transform 100%
• Number 100%
• Covariance Matrix 50%
• Divide and Conquer 50%
• Nonuniform 50%
• Covariance Model 50%
• Prefactor 50%
• N-Dimensional Random Vector 50%
• Positive Definite 50%
• Sparse Grids 50%
• Algorithm Analysis 50%
• Dimensional Problem 50%
• Building Block 50%
• Constant Vector 50%

Computer Science

• Fast Fourier Transform 100%
• Normal Distribution 100%
• Diagonal Matrix 100%
• Building-Blocks 50%
• Desktop Computer 50%
• Dimensional Feature 50%
• Tridiagonal Matrix 50%
• Hierarchical Algorithm 50%
• Covariance Matrix 50%
• Positive Definite 50%
• Dimensional Problem 50%

Keyphrases

• Truncated multivariate Normal Distribution 100%
• Exponential Covariance 25%