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I having a look at how to calculate using PC a multivariable integrals.

I am reading about the Quasi Montecarlo methods using the following

  • (t, m, s)-Nets and (t, s)-Sequences
  • Faure sequences

My readings are pdf and various tutorial produced during year 2005.

Do you know if these methods are still used and effective or if I should focus my efforts to new and improved techniques?

I have a problem of about 20 variables and I would like to use C++.

Thanks a lot

AFG

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How many variables are we talking about? –  J. M. Sep 7 '11 at 15:28
    
How many dimensions? Do you have any other assumptions about the functions involved? What language? Is this a one-shot deal or for production. Here's a good C/C++/Fortran library with numerous different algorithms. feynarts.de/cuba –  dls Sep 7 '11 at 16:23
    
Hi dls. I have to deal with 20 vars but it is likely to increase ( I am in a middle of an evaluation ). Can I ask you a question? For how many variable do you think I can push that library you are suggesting me? –  Abruzzo Forte e Gentile Sep 7 '11 at 18:53
    
I used the library in low dimensions (2-4) where the Cuhre algorithm (deterministic) appeared to perform the best in our benchmark tests. Monte Carlo algorithms scale better with dimension, and the library has a few variants. I'm guessing it would work ok with 20 vars, but have no experience. –  dls Sep 9 '11 at 23:34
    
Hi Dls. Regarding the benchmark tests you mention, if you are interested on specific aspect I can try to report you how the lib perform while playing with 20 vars. Could it be of your interest? Are you interested in speed of convergence, precision,...or do you benchmark against a specific library or using a specific tool so that we can have a common measure? –  Abruzzo Forte e Gentile Sep 14 '11 at 8:24

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