An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables.
Jirô AkahoriMasahiro KinuyaTakashi SawaiTomooki YuasaPublished in: CoRR (2020)
Keyphrases
- random variables
- high dimensional
- graphical models
- probability distribution
- conditional independence
- bayesian networks
- stochastic optimization problems
- latent variables
- joint distribution
- independent and identically distributed
- marginal distributions
- normal distribution
- failure rate
- feature space
- distribution function
- probabilistic model
- directed acyclic graph
- differential equations
- conditional distribution
- conditional distributions
- conditionally independent
- lead time
- approximation algorithms
- probability density
- conditional probabilities
- sample size
- similarity search
- probabilistic graphical models
- model selection
- low dimensional
- marginal likelihood