#include <gsl_vegas2.h>
(Upgrade of gsl_vegas. Not working yet.)
Original documentation from GSL:
This is an implementation of the adaptive Monte-Carlo algorithm of G. P. Lepage, originally described in J. Comp. Phys. 27, 192(1978). The current version of the algorithm was described in the Cornell preprint CLNS-80/447 of March, 1980.
This code follows most closely the c version by D.R.Yennie, coded in 1984.
The input coordinates are x[j], with upper and lower limits xu[j] and xl[j]. The integration length in the j-th direction is delx[j]. Each coordinate x[j] is rescaled to a variable y[j] in the range 0 to 1. The range is divided into bins with boundaries xi[i][j], where i=0 corresponds to y=0 and i=bins to y=1. The grid is refined (ie, bins are adjusted) using d[i][j] which is some variation on the squared sum. A third parameter used in defining the real coordinate using random numbers is called z. It ranges from 0 to bins. Its integer part gives the lower index of the bin into which a call is to be placed, and the remainder gives the location inside the bin.
When stratified sampling is used the bins are grouped into boxes, and the algorithm allocates an equal number of function calls to each box.
The variable alpha controls how "stiff" the rebinning algorithm is. alpha = 0 means never change the grid. Alpha is typically set between 1 and 2.
Definition at line 77 of file gsl_vegas2.h.
Public Member Functions | |
int | allocate (size_t ldim) |
Desc. | |
int | init () |
void | free () |
Desc. | |
int | vegas_integrate (const vec_t &xl, const vec_t &xu, size_t calls, double *lresult, double *abserr, func_t &func, param_t &pa) |
virtual int | minteg_err (func_t &func, size_t ndim, const vec_t &a, const vec_t &b, param_t &pa, double &res, double &err) |
Integrate function func from x=a to x=b. | |
virtual const char * | type () |
Return string denoting type ("gsl_vegas2"). | |
Static Public Attributes | |
static const int | GSL_VEGAS2_MODE_IMPORTANCE = 1 |
static const int | GSL_VEGAS2_MODE_IMPORTANCE_ONLY = 0 |
static const int | GSL_VEGAS2_MODE_STRATIFIED = -1 |
Protected Types | |
typedef int | coord |
Protected Member Functions | |
void | init_box_coord (coord boxt[]) |
Desc. | |
int | change_box_coord (coord boxt[]) |
Desc. | |
void | init_grid (const vec_t &xl, const vec_t &xu, size_t ldim) |
Desc. | |
void | reset_grid_values () |
Desc. | |
void | accumulate_distribution (coord lbin[], double y) |
Desc. | |
void | random_point (vec_t &lx, coord lbin[], double *bin_vol, const coord lbox[], const vec_t &xl, const vec_t &xu, rng_t &r) |
Desc. | |
void | resize_grid (unsigned int lbins) |
Desc. | |
void | refine_grid () |
Desc. | |
void | print_lim (std::ostream *outs, const vec_t &xl, const vec_t &xu, unsigned long ldim) |
Desc. | |
void | print_head (std::ostream *outs, unsigned long num_dim, unsigned long calls, unsigned int lit_num, unsigned int lbins, unsigned int lboxes) |
Desc. | |
void | print_res (std::ostream *outs, unsigned int itr, double res, double err, double cum_res, double cum_err, double chi_sq) |
Desc. | |
void | print_dist (std::ostream *outs, unsigned long ldim) |
Desc. | |
void | print_grid (std::ostream *outs, unsigned long ldim) |
Desc. | |
Protected Attributes | |
size_t | dim |
size_t | bins_max |
unsigned int | bins |
unsigned int | boxes |
double * | xi |
double * | xin |
double * | delx |
double * | weight |
double | vol |
int * | bin |
int * | box |
double * | d |
double | alpha |
int | mode |
unsigned int | iterations |
int | stage |
double | jac |
double | wtd_int_sum |
double | sum_wgts |
double | chi_sum |
double | chisq |
double | result |
double | sigma |
unsigned int | it_start |
unsigned int | it_num |
unsigned int | samples |
unsigned int | calls_per_box |
rng_t | rng |
alloc_t | ao |
alloc_vec_t | x |
Static Protected Attributes | |
static const int | BINS_MAX = 50 |
int change_box_coord | ( | coord | boxt[] | ) | [inline, protected] |
Desc.
change_box_coord steps through the box coord like {0,0}, {0, 1}, {0, 2}, {0, 3}, {1, 0}, {1, 1}, {1, 2}, ...
Definition at line 248 of file gsl_vegas2.h.
int vegas_integrate | ( | const vec_t & | xl, | |
const vec_t & | xu, | |||
size_t | calls, | |||
double * | lresult, | |||
double * | abserr, | |||
func_t & | func, | |||
param_t & | pa | |||
) | [inline] |
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