algorithms: Parameters for the Quasi-Monte Carlo sampling

In tlrmvnmvt: Low-Rank Methods for MVN and MVT Probabilities

Parameters for the Quasi-Monte Carlo sampling

Description

The two functions return objects containing the parameters for the dense-matrix based Quasi-Monte Carlo method and the tile-low-rank-matrix based Quasi-Monte Carlo method, respectively.

Usage

  GenzBretz(N = 499) 
  TLRQMC(N = 499, m = 64, epsl = 1e-4)

Arguments

N	an integer, specifying the number of per-batch Monte Carlo samples. The total number of Monte Carlo samples is 20 X N
m	an integer, specifying the block size for the tile-low-rank methods
epsl	numeric value, specifying the truncation level for the tile-low-rank methods

Value

Return an object of the class "GenzBretz" or "TLRQMC", which is used as the parameter of the pmvn and the pmvt functions.

Author(s)

Jian Cao, Marc Genton, David Keyes, George Turkiyyah

tlrmvnmvt documentation built on June 9, 2022, 5:09 p.m.