Abstract
Several simple regression estimators can be constructed to approximate the distribution function of the m-dimensional normal distribution along a line. These functions can be used to find the border points of the feasible region of probability constrained stochastic programming models. Computer experiences show a fast and robust behaviour of the root finding techniques.
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Deák, I. (1998). Regression Estimators Related to Multinormal Distributions: Computer Experiences in Root Finding. In: Marti, K., Kall, P. (eds) Stochastic Programming Methods and Technical Applications. Lecture Notes in Economics and Mathematical Systems, vol 458. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-45767-8_17
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DOI: https://doi.org/10.1007/978-3-642-45767-8_17
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