An O(N) algorithm for computing expectation of N-dimensional truncated multi-variate normal distribution I: fundamentals

Abstract

In this paper, we present the fundamentals of a hierarchical algorithm for computing the N-dimensional integral ϕ(a,b;A)=∫abH(x)f(x|A)dx representing the expectation of a function H(X) where f(x|A) is the truncated multi-variate normal (TMVN) distribution with zero mean, x is the vector of integration variables for the N-dimensional random vector X, A is the inverse of the covariance matrix Σ, and a and b are constant vectors. The algorithm assumes that H(x) is “low-rank” and is designed for properly clustered X so that the matrix A has “low-rank” blocks and “low-dimensional” features. We demonstrate the divide-and-conquer idea when A is a symmetric positive definite tridiagonal matrix and present the necessary building blocks and rigorous potential theory–based algorithm analysis when A is given by the exponential covariance model. The algorithm overall complexity is O(N) for N-dimensional problems, with a prefactor determined by the rank of the off-diagonal matrix blocks and number of effective variables. Very high accuracy results for N as large as 2048 are obtained on a desktop computer with 16G memory using the fast Fourier transform (FFT) and non-uniform FFT to validate the analysis. The current paper focuses on the ideas using the simple yet representative examples where the off-diagonal matrix blocks are rank 1 and the number of effective variables is bounded by 2, to allow concise notations and easier explanation. In a subsequent paper, we discuss the generalization of current scheme using the sparse grid technique for higher rank problems and demonstrate how all the moments of kth order or less (a total of O(Nk) integrals) can be computed using O(Nk) operations for k ≥ 2 and O(NlogN) operations for k = 1.