#include <gsl_vegas.h>
The output options are a little different than the original GSL routine. The default setting of mcarlo_inte::verbose is 0, which turns off all output. A verbose value of 1 prints summary information about the weighted average and final result, while a value of 2 also displays the grid coordinates. A value of 3 prints information from the rebinning procedure for each iteration.
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 89 of file gsl_vegas.h.
Integration mode (default is mode_importance) | |
int | mode |
static const int | mode_importance = 1 |
static const int | mode_importance_only = 0 |
static const int | mode_stratified = -1 |
Public Member Functions | |
virtual int | allocate (size_t ldim) |
Allocate memory. | |
virtual int | free () |
Free allocated memory. | |
virtual int | vegas_minteg_err (int stage, func_t &func, size_t ndim, const vec_t &xl, const vec_t &xu, param_t &pa, double &res, double &err) |
Integrate function func from x=a to x=b. | |
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_vegas"). | |
Data Fields | |
double | result |
Result from last iteration. | |
double | sigma |
Uncertainty from last iteration. | |
double | alpha |
The stiffness of the rebinning algorithm (default 1.5). | |
unsigned int | iterations |
Set the number of iterations (default 5). | |
double | chisq |
The chi-squared per degree of freedom for the weighted estimate of the integral. | |
std::ostream * | outs |
The output stream to send output information (default std::cout ). | |
Protected Types | |
typedef int | coord |
Desc. | |
Protected Member Functions | |
virtual void | init_box_coord (coord boxt[]) |
Initialize box coordinates. | |
int | change_box_coord (coord boxt[]) |
Change box coordinates. | |
virtual void | init_grid (const vec_t &xl, const vec_t &xu, size_t ldim) |
Initialize grid. | |
virtual void | reset_grid_values () |
Reset grid values. | |
void | accumulate_distribution (coord lbin[], double y) |
Add the most recently generated result to the distribution. | |
void | random_point (vec_t &lx, coord lbin[], double *bin_vol, const coord lbox[], const vec_t &xl, const vec_t &xu) |
Generate a random position in a given box. | |
virtual void | resize_grid (unsigned int lbins) |
Resize the grid. | |
virtual void | refine_grid () |
Refine the grid. | |
virtual void | print_lim (const vec_t &xl, const vec_t &xu, unsigned long ldim) |
Print limits of integration. | |
virtual void | print_head (unsigned long num_dim, unsigned long calls, unsigned int lit_num, unsigned int lbins, unsigned int lboxes) |
Print header. | |
virtual void | print_res (unsigned int itr, double res, double err, double cum_res, double cum_err, double chi_sq) |
Print results. | |
virtual void | print_dist (unsigned long ldim) |
Print distribution. | |
virtual void | print_grid (unsigned long ldim) |
Print grid. | |
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 | jac |
double | wtd_int_sum |
double | sum_wgts |
double | chi_sum |
unsigned int | it_start |
unsigned int | it_num |
unsigned int | samples |
unsigned int | calls_per_box |
alloc_t | ao |
Memory allocation object. | |
alloc_vec_t | x |
Point for function evaluation. | |
Static Protected Attributes | |
static const int | BINS_MAX = 50 |
Desc. |
int change_box_coord | ( | coord | boxt[] | ) | [inline, protected] |
Change box coordinates.
Steps through the box coord like {0,0}, {0, 1}, {0, 2}, {0, 3}, {1, 0}, {1, 1}, {1, 2}, ...
This is among the member functions that is not virtual because it is part of the innermost loop.
Definition at line 193 of file gsl_vegas.h.
void accumulate_distribution | ( | coord | lbin[], | |
double | y | |||
) | [inline, protected] |
Add the most recently generated result to the distribution.
This is among the member functions that is not virtual because it is part of the innermost loop.
Definition at line 246 of file gsl_vegas.h.
void random_point | ( | vec_t & | lx, | |
coord | lbin[], | |||
double * | bin_vol, | |||
const coord | lbox[], | |||
const vec_t & | xl, | |||
const vec_t & | xu | |||
) | [inline, protected] |
Generate a random position in a given box.
Use the random number generator r to return a random position x in a given box. The value of bin gives the bin location of the random position (there may be several bins within a given box)
This is among the member functions that is not virtual because it is part of the innermost loop.
Definition at line 266 of file gsl_vegas.h.
virtual int vegas_minteg_err | ( | int | stage, | |
func_t & | func, | |||
size_t | ndim, | |||
const vec_t & | xl, | |||
const vec_t & | xu, | |||
param_t & | pa, | |||
double & | res, | |||
double & | err | |||
) | [inline, virtual] |
Integrate function func
from x=a to x=b.
Original documentation from GSL:
Normally, `stage = 0' which begins with a new uniform grid and empty weighted average. Calling vegas with `stage = 1' retains the grid from the previous run but discards the weighted average, so that one can "tune" the grid using a relatively small number of points and then do a large run with `stage = 1' on the optimized grid. Setting `stage = 2' keeps the grid and the weighted average from the previous run, but may increase (or decrease) the number of histogram bins in the grid depending on the number of calls available. Choosing `stage = 3' enters at the main loop, so that nothing is changed, and is equivalent to performing additional iterations in a previous call.
Definition at line 627 of file gsl_vegas.h.
double alpha |
The stiffness of the rebinning algorithm (default 1.5).
This usual range is between 1 and 2.
Definition at line 113 of file gsl_vegas.h.
double chisq |
The chi-squared per degree of freedom for the weighted estimate of the integral.
From GSL documentation:
The value of CHISQ should be close to 1. A value of CHISQ which differs significantly from 1 indicates that the values from different iterations are inconsistent. In this case the weighted error will be under-estimated, and further iterations of the algorithm are needed to obtain reliable results.
Definition at line 131 of file gsl_vegas.h.
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