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stratisMarkou / mvncdf.py
Last active October 17, 2022 15:05
CDF of a Multivariate Normal
"""
An implementation of Genz's numerical routine for evaluating the integral of a
multivariate Gaussian within a hypercube volume as specified in:
https://www.math.wsu.edu/faculty/genz/papers/mvn.pdf
"""
from typing import *
import tensorflow as tf