O(N) Hierarchical algorithm for computing the expectations of truncated multi-variate normal distributions in N dimensions

Jingfang Huang, Fuhui Fang, George Turkiyyah +3

In this paper, we study the $N$-dimensional integral $\varphi (a,b;A)={\int }_a^{b}H(x)f(x|A)\text{d}x$ representing the expectation of a function $H(X)$ where $f(x|A)$ is the t…