LinConGauss Matlab Implementation

Approximation of Gaussian integrals over linearly constrained domains

This is a simple Matlab implementation of the algorithm from https://github.com/alpiges/LinConGauss

The algorithm itself is not my work, just its implementation in Matlab. Therefore, it also might contain some bugs.

The algorithm is especially suited for very high dimensions and very small probability masses, where classical Monte-Carlo approaches become inefficient.

If you use the algorithm for your research, don't forget to cite the original paper:

@inproceedings{GessnerKH2020,

title = {Integrals over Gaussians under Linear Domain Constraints},

author = {Alexandra Gessner and Oindrila Kanjilal and Philipp Hennig},

booktitle = {Proceedings of Machine Learning Research},

publisher = {PMLR},

year = {2020},

url = {https://arxiv.org/abs/1910.09328}

}