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/* monte/plain.c
*
* Copyright (C) 1996, 1997, 1998, 1999, 2000, 2009 Michael Booth
*
* This program is free software; you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation; either version 3 of the License, or (at
* your option) any later version.
*
* This program is distributed in the hope that it will be useful, but
* WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
*/
/* Plain Monte-Carlo. */
/* Author: MJB */
#include <config.h>
#include <math.h>
#include <gsl/gsl_math.h>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_monte_plain.h>
int
gsl_monte_plain_integrate (const gsl_monte_function * f,
const double xl[], const double xu[],
const size_t dim,
const size_t calls,
gsl_rng * r,
gsl_monte_plain_state * state,
double *result, double *abserr)
{
double vol, m = 0, q = 0;
double *x = state->x;
size_t n, i;
if (dim != state->dim)
{
GSL_ERROR ("number of dimensions must match allocated size", GSL_EINVAL);
}
for (i = 0; i < dim; i++)
{
if (xu[i] <= xl[i])
{
GSL_ERROR ("xu must be greater than xl", GSL_EINVAL);
}
if (xu[i] - xl[i] > GSL_DBL_MAX)
{
GSL_ERROR ("Range of integration is too large, please rescale",
GSL_EINVAL);
}
}
/* Compute the volume of the region */
vol = 1;
for (i = 0; i < dim; i++)
{
vol *= xu[i] - xl[i];
}
for (n = 0; n < calls; n++)
{
/* Choose a random point in the integration region */
for (i = 0; i < dim; i++)
{
x[i] = xl[i] + gsl_rng_uniform_pos (r) * (xu[i] - xl[i]);
}
{
double fval = GSL_MONTE_FN_EVAL (f, x);
/* recurrence for mean and variance */
double d = fval - m;
m += d / (n + 1.0);
q += d * d * (n / (n + 1.0));
}
}
*result = vol * m;
if (calls < 2)
{
*abserr = GSL_POSINF;
}
else
{
*abserr = vol * sqrt (q / (calls * (calls - 1.0)));
}
return GSL_SUCCESS;
}
gsl_monte_plain_state *
gsl_monte_plain_alloc (size_t dim)
{
gsl_monte_plain_state *s =
(gsl_monte_plain_state *) malloc (sizeof (gsl_monte_plain_state));
if (s == 0)
{
GSL_ERROR_VAL ("failed to allocate space for state struct",
GSL_ENOMEM, 0);
}
s->x = (double *) malloc (dim * sizeof (double));
if (s->x == 0)
{
free (s);
GSL_ERROR_VAL ("failed to allocate space for working vector",
GSL_ENOMEM, 0);
}
s->dim = dim;
return s;
}
/* Set some default values and whatever */
int
gsl_monte_plain_init (gsl_monte_plain_state * s)
{
size_t i;
for (i = 0; i < s->dim; i++)
{
s->x[i] = 0.0;
}
return GSL_SUCCESS;
}
void
gsl_monte_plain_free (gsl_monte_plain_state * s)
{
RETURN_IF_NULL (s);
free (s->x);
free (s);
}
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