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Module Monte

module Monte: sig .. end
Monte Carlo Integration

High-level interface


type kind =
| PLAIN
| MISER
| VEGAS 
val integrate : kind ->
       Fun.monte_fun ->
       lo:float array -> up:float array -> int -> Rng.t -> Fun.result

Low-level interface



PLAIN algorithm


type plain_state 
val make_plain_state : int -> plain_state
val init_plain : plain_state -> unit
val integrate_plain : Fun.monte_fun ->
       lo:float array ->
       up:float array -> int -> Rng.t -> plain_state -> Fun.result

MISER algorithm


type miser_state 
type miser_params = {
   estimate_frac :float;
   min_calls :int;
   min_calls_per_bisection :int;
   miser_alpha :float;
   dither :float;
} 
val make_miser_state : int -> miser_state
val init_miser : miser_state -> unit
val integrate_miser : Fun.monte_fun ->
       lo:float array ->
       up:float array -> int -> Rng.t -> miser_state -> Fun.result
val get_miser_params : miser_state -> miser_params
val set_miser_params : miser_state -> miser_params -> unit

VEGAS algorithm


type vegas_state 
type vegas_info = {
   result :float;
   sigma :float;
   chisq :float;
} 
type vegas_mode =
| STRATIFIED
| IMPORTANCE_ONLY
| IMPORTANCE 
type vegas_params = {
   vegas_alpha :float; (*1.5*)
   iterations :int; (*5*)
   stage :int;
   mode :vegas_mode;
   verbose :int;
   ostream :Pervasives.out_channel option;
} 
val make_vegas_state : int -> vegas_state
val init_vegas : vegas_state -> unit
val integrate_vegas : Fun.monte_fun ->
       lo:float array ->
       up:float array -> int -> Rng.t -> vegas_state -> Fun.result
val get_vegas_info : vegas_state -> vegas_info
val get_vegas_params : vegas_state -> vegas_params
val set_vegas_params : vegas_state -> vegas_params -> unit