Behavior of the NORTA Method for Correlated Random Vector Generation as the Dimension Increases

ACM Transactions on Modeling and Computer Simulation

Volumn 13, Issue 3, 2003, Pages 276-294

  Ghosh, Soumyadip ^a   Henderson, Shane G ^a  

^a Cornell University   (United States)

Author keywords

NORTA method; Onion method; Sampling random matrices; Semidefinite programming

Indexed keywords

ONION METHOD; SEMIDEFINITE PROGRAMMING (SDP);

ALGORITHMS; COMPUTER SIMULATION; CORRELATION METHODS; MATRIX ALGEBRA; RANDOM NUMBER GENERATION; RANDOM PROCESSES; VECTORS;

COMPUTER PROGRAMMING;

EID: 0348134540     PISSN: 10493301     EISSN: None     Source Type: Journal    
DOI: 10.1145/937332.937336     Document Type: Article

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