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authorJoel Sherrill <joel.sherrill@OARcorp.com>2011-04-08 17:33:11 +0000
committerJoel Sherrill <joel.sherrill@OARcorp.com>2011-04-08 17:33:11 +0000
commit73f643f3f4a55310b2c8c1a9858906b2dd676e72 (patch)
treeb1df97f18dace4a5702b0bc7aafdfee8a2f25ada /gsl-1.9/doc/montecarlo.texi
parentee523abdace8337d05ec4a179fcdf5de3fe0f634 (diff)
2011-04-08 Joel Sherrill <joel.sherrill@oarcorp.com>
* AUTHORS, BUGS, COPYING, ChangeLog, INSTALL, Makefile.am, Makefile.in, NEWS, README, SUPPORT, THANKS, TODO, acconfig.h, aclocal.m4, autogen.sh, config.guess, config.h.in, config.sub, configure, configure.ac, gsl-config.in, gsl-histogram.c, gsl-randist.c, gsl.m4, gsl.pc.in, gsl.spec.in, gsl_machine.h, gsl_math.h, gsl_mode.h, gsl_nan.h, gsl_pow_int.h, gsl_precision.h, gsl_types.h, gsl_version.h.in, install-sh, ltmain.sh, mdate-sh, missing, mkinstalldirs, templates_off.h, templates_on.h, test_gsl_histogram.sh, version.c, blas/ChangeLog, blas/Makefile.am, blas/Makefile.in, blas/TODO, blas/blas.c, blas/gsl_blas.h, blas/gsl_blas_types.h, block/ChangeLog, block/Makefile.am, block/Makefile.in, block/block.c, block/block_source.c, block/file.c, block/fprintf_source.c, block/fwrite_source.c, block/gsl_block.h, block/gsl_block_char.h, block/gsl_block_complex_double.h, block/gsl_block_complex_float.h, block/gsl_block_complex_long_double.h, block/gsl_block_double.h, block/gsl_block_float.h, block/gsl_block_int.h, block/gsl_block_long.h, block/gsl_block_long_double.h, block/gsl_block_short.h, block/gsl_block_uchar.h, block/gsl_block_uint.h, block/gsl_block_ulong.h, block/gsl_block_ushort.h, block/gsl_check_range.h, block/init.c, block/init_source.c, block/test.c, block/test_complex_io.c, block/test_complex_source.c, block/test_io.c, block/test_source.c, bspline/ChangeLog, bspline/Makefile.am, bspline/Makefile.in, bspline/TODO, bspline/bspline.c, bspline/gsl_bspline.h, bspline/test.c, cblas/ChangeLog, cblas/Makefile.am, cblas/Makefile.in, cblas/TODO, cblas/caxpy.c, cblas/cblas.h, cblas/ccopy.c, cblas/cdotc_sub.c, cblas/cdotu_sub.c, cblas/cgbmv.c, cblas/cgemm.c, cblas/cgemv.c, cblas/cgerc.c, cblas/cgeru.c, cblas/chbmv.c, cblas/chemm.c, cblas/chemv.c, cblas/cher.c, cblas/cher2.c, cblas/cher2k.c, cblas/cherk.c, cblas/chpmv.c, cblas/chpr.c, cblas/chpr2.c, cblas/cscal.c, cblas/csscal.c, cblas/cswap.c, cblas/csymm.c, cblas/csyr2k.c, cblas/csyrk.c, cblas/ctbmv.c, cblas/ctbsv.c, cblas/ctpmv.c, cblas/ctpsv.c, cblas/ctrmm.c, cblas/ctrmv.c, cblas/ctrsm.c, cblas/ctrsv.c, cblas/dasum.c, cblas/daxpy.c, cblas/dcopy.c, cblas/ddot.c, cblas/dgbmv.c, cblas/dgemm.c, cblas/dgemv.c, cblas/dger.c, cblas/dnrm2.c, cblas/drot.c, cblas/drotg.c, cblas/drotm.c, cblas/drotmg.c, cblas/dsbmv.c, cblas/dscal.c, cblas/dsdot.c, cblas/dspmv.c, cblas/dspr.c, cblas/dspr2.c, cblas/dswap.c, cblas/dsymm.c, cblas/dsymv.c, cblas/dsyr.c, cblas/dsyr2.c, cblas/dsyr2k.c, cblas/dsyrk.c, cblas/dtbmv.c, cblas/dtbsv.c, cblas/dtpmv.c, cblas/dtpsv.c, cblas/dtrmm.c, cblas/dtrmv.c, cblas/dtrsm.c, cblas/dtrsv.c, cblas/dzasum.c, cblas/dznrm2.c, cblas/gsl_cblas.h, cblas/hypot.c, cblas/icamax.c, cblas/idamax.c, cblas/isamax.c, cblas/izamax.c, cblas/sasum.c, cblas/saxpy.c, cblas/scasum.c, cblas/scnrm2.c, cblas/scopy.c, cblas/sdot.c, cblas/sdsdot.c, cblas/sgbmv.c, cblas/sgemm.c, cblas/sgemv.c, cblas/sger.c, cblas/snrm2.c, cblas/source_asum_c.h, cblas/source_asum_r.h, cblas/source_axpy_c.h, cblas/source_axpy_r.h, cblas/source_copy_c.h, cblas/source_copy_r.h, cblas/source_dot_c.h, cblas/source_dot_r.h, cblas/source_gbmv_c.h, cblas/source_gbmv_r.h, cblas/source_gemm_c.h, cblas/source_gemm_r.h, cblas/source_gemv_c.h, cblas/source_gemv_r.h, cblas/source_ger.h, cblas/source_gerc.h, cblas/source_geru.h, cblas/source_hbmv.h, cblas/source_hemm.h, cblas/source_hemv.h, cblas/source_her.h, cblas/source_her2.h, cblas/source_her2k.h, cblas/source_herk.h, cblas/source_hpmv.h, cblas/source_hpr.h, cblas/source_hpr2.h, cblas/source_iamax_c.h, cblas/source_iamax_r.h, cblas/source_nrm2_c.h, cblas/source_nrm2_r.h, cblas/source_rot.h, cblas/source_rotg.h, cblas/source_rotm.h, cblas/source_rotmg.h, cblas/source_sbmv.h, cblas/source_scal_c.h, cblas/source_scal_c_s.h, cblas/source_scal_r.h, cblas/source_spmv.h, cblas/source_spr.h, cblas/source_spr2.h, cblas/source_swap_c.h, cblas/source_swap_r.h, cblas/source_symm_c.h, cblas/source_symm_r.h, cblas/source_symv.h, cblas/source_syr.h, cblas/source_syr2.h, cblas/source_syr2k_c.h, cblas/source_syr2k_r.h, cblas/source_syrk_c.h, cblas/source_syrk_r.h, cblas/source_tbmv_c.h, cblas/source_tbmv_r.h, cblas/source_tbsv_c.h, cblas/source_tbsv_r.h, cblas/source_tpmv_c.h, cblas/source_tpmv_r.h, cblas/source_tpsv_c.h, cblas/source_tpsv_r.h, cblas/source_trmm_c.h, cblas/source_trmm_r.h, cblas/source_trmv_c.h, cblas/source_trmv_r.h, cblas/source_trsm_c.h, cblas/source_trsm_r.h, cblas/source_trsv_c.h, cblas/source_trsv_r.h, cblas/srot.c, cblas/srotg.c, cblas/srotm.c, cblas/srotmg.c, cblas/ssbmv.c, cblas/sscal.c, cblas/sspmv.c, cblas/sspr.c, cblas/sspr2.c, cblas/sswap.c, cblas/ssymm.c, cblas/ssymv.c, cblas/ssyr.c, cblas/ssyr2.c, cblas/ssyr2k.c, cblas/ssyrk.c, cblas/stbmv.c, cblas/stbsv.c, cblas/stpmv.c, cblas/stpsv.c, cblas/strmm.c, cblas/strmv.c, cblas/strsm.c, cblas/strsv.c, cblas/test.c, cblas/test_amax.c, cblas/test_asum.c, cblas/test_axpy.c, cblas/test_copy.c, cblas/test_dot.c, cblas/test_gbmv.c, cblas/test_gemm.c, cblas/test_gemv.c, cblas/test_ger.c, cblas/test_hbmv.c, cblas/test_hemm.c, cblas/test_hemv.c, cblas/test_her.c, cblas/test_her2.c, cblas/test_her2k.c, cblas/test_herk.c, cblas/test_hpmv.c, cblas/test_hpr.c, cblas/test_hpr2.c, cblas/test_nrm2.c, cblas/test_rot.c, cblas/test_rotg.c, cblas/test_rotm.c, cblas/test_rotmg.c, cblas/test_sbmv.c, cblas/test_scal.c, cblas/test_spmv.c, cblas/test_spr.c, cblas/test_spr2.c, cblas/test_swap.c, cblas/test_symm.c, cblas/test_symv.c, cblas/test_syr.c, cblas/test_syr2.c, cblas/test_syr2k.c, cblas/test_syrk.c, cblas/test_tbmv.c, cblas/test_tbsv.c, cblas/test_tpmv.c, cblas/test_tpsv.c, cblas/test_trmm.c, cblas/test_trmv.c, cblas/test_trsm.c, cblas/test_trsv.c, cblas/tests.c, cblas/tests.h, cblas/xerbla.c, cblas/zaxpy.c, cblas/zcopy.c, cblas/zdotc_sub.c, cblas/zdotu_sub.c, cblas/zdscal.c, cblas/zgbmv.c, cblas/zgemm.c, cblas/zgemv.c, cblas/zgerc.c, cblas/zgeru.c, cblas/zhbmv.c, cblas/zhemm.c, cblas/zhemv.c, cblas/zher.c, cblas/zher2.c, cblas/zher2k.c, cblas/zherk.c, cblas/zhpmv.c, cblas/zhpr.c, cblas/zhpr2.c, cblas/zscal.c, cblas/zswap.c, cblas/zsymm.c, cblas/zsyr2k.c, cblas/zsyrk.c, cblas/ztbmv.c, cblas/ztbsv.c, cblas/ztpmv.c, cblas/ztpsv.c, cblas/ztrmm.c, cblas/ztrmv.c, cblas/ztrsm.c, cblas/ztrsv.c, cdf/ChangeLog, cdf/Makefile.am, cdf/Makefile.in, cdf/beta.c, cdf/beta_inc.c, cdf/betainv.c, cdf/binomial.c, cdf/cauchy.c, cdf/cauchyinv.c, cdf/chisq.c, cdf/chisqinv.c, cdf/error.h, cdf/exponential.c, cdf/exponentialinv.c, cdf/exppow.c, cdf/fdist.c, cdf/fdistinv.c, cdf/flat.c, cdf/flatinv.c, cdf/gamma.c, cdf/gammainv.c, cdf/gauss.c, cdf/gaussinv.c, cdf/geometric.c, cdf/gsl_cdf.h, cdf/gumbel1.c, cdf/gumbel1inv.c, cdf/gumbel2.c, cdf/gumbel2inv.c, cdf/hypergeometric.c, cdf/laplace.c, cdf/laplaceinv.c, cdf/logistic.c, cdf/logisticinv.c, cdf/lognormal.c, cdf/lognormalinv.c, cdf/nbinomial.c, cdf/pareto.c, cdf/paretoinv.c, cdf/pascal.c, cdf/poisson.c, cdf/rat_eval.h, cdf/rayleigh.c, cdf/rayleighinv.c, cdf/tdist.c, cdf/tdistinv.c, cdf/test.c, cdf/test_auto.c, cdf/weibull.c, cdf/weibullinv.c, cheb/ChangeLog, cheb/Makefile.am, cheb/Makefile.in, cheb/deriv.c, cheb/eval.c, cheb/gsl_chebyshev.h, cheb/init.c, cheb/integ.c, cheb/test.c, combination/ChangeLog, combination/Makefile.am, combination/Makefile.in, combination/combination.c, combination/file.c, combination/gsl_combination.h, combination/init.c, combination/test.c, complex/ChangeLog, complex/Makefile.am, complex/Makefile.in, complex/TODO, complex/gsl_complex.h, complex/gsl_complex_math.h, complex/math.c, complex/results.h, complex/results1.h, complex/results_real.h, complex/test.c, const/ChangeLog, const/Makefile.am, const/Makefile.in, const/TODO, const/gsl_const.h, const/gsl_const_cgs.h, const/gsl_const_cgsm.h, const/gsl_const_mks.h, const/gsl_const_mksa.h, const/gsl_const_num.h, const/test.c, deriv/ChangeLog, deriv/Makefile.am, deriv/Makefile.in, deriv/deriv.c, deriv/gsl_deriv.h, deriv/test.c, dht/ChangeLog, dht/Makefile.am, dht/Makefile.in, dht/dht.c, dht/gsl_dht.h, dht/test.c, diff/ChangeLog, diff/Makefile.am, diff/Makefile.in, diff/diff.c, diff/gsl_diff.h, diff/test.c, doc/12-cities.eps, doc/ChangeLog, doc/Makefile.am, doc/Makefile.in, doc/algorithm.sty, doc/algorithmic.sty, doc/autoconf.texi, doc/blas.texi, doc/bspline.eps, doc/bspline.texi, doc/calc.sty, doc/cblas.texi, doc/cheb.eps, doc/cheb.texi, doc/combination.texi, doc/complex.texi, doc/const.texi, doc/debug.texi, doc/dht.texi, doc/diff.texi, doc/dwt-orig.eps, doc/dwt-samp.eps, doc/dwt.texi, doc/eigen.texi, doc/err.texi, doc/fdl.texi, doc/fft-complex-radix2-f.eps, doc/fft-complex-radix2-t.eps, doc/fft-complex-radix2.eps, doc/fft-real-mixedradix.eps, doc/fft.texi, doc/fftalgorithms.bib, doc/fftalgorithms.tex, doc/final-route.eps, doc/fit-exp.eps, doc/fit-wlinear.eps, doc/fit-wlinear2.eps, doc/fitting.texi, doc/freemanuals.texi, doc/gpl.texi, doc/gsl-config.1, doc/gsl-design.texi, doc/gsl-histogram.1, doc/gsl-randist.1, doc/gsl-ref.info, doc/gsl-ref.info-1, doc/gsl-ref.info-2, doc/gsl-ref.info-3, doc/gsl-ref.info-4, doc/gsl-ref.info-5, doc/gsl-ref.info-6, doc/gsl-ref.texi, doc/gsl.3, doc/histogram.eps, doc/histogram.texi, doc/histogram2d.eps, doc/ieee754.texi, doc/initial-route.eps, doc/integration.texi, doc/interp.texi, doc/interp2.eps, doc/interpp2.eps, doc/intro.texi, doc/landau.dat, doc/linalg.texi, doc/math.texi, doc/mdate-sh, doc/min-interval.eps, doc/min.texi, doc/montecarlo.texi, doc/multifit.texi, doc/multimin.eps, doc/multimin.texi, doc/multiroots.texi, doc/ntuple.eps, doc/ntuple.texi, doc/ode-initval.texi, doc/permutation.texi, doc/poly.texi, doc/qrng.eps, doc/qrng.texi, doc/rand-bernoulli.tex, doc/rand-beta.tex, doc/rand-binomial.tex, doc/rand-bivariate-gaussian.tex, doc/rand-cauchy.tex, doc/rand-chisq.tex, doc/rand-erlang.tex, doc/rand-exponential.tex, doc/rand-exppow.tex, doc/rand-fdist.tex, doc/rand-flat.tex, doc/rand-gamma.tex, doc/rand-gaussian-tail.tex, doc/rand-gaussian.tex, doc/rand-geometric.tex, doc/rand-gumbel.tex, doc/rand-gumbel1.tex, doc/rand-gumbel2.tex, doc/rand-hypergeometric.tex, doc/rand-landau.tex, doc/rand-laplace.tex, doc/rand-levy.tex, doc/rand-levyskew.tex, doc/rand-logarithmic.tex, doc/rand-logistic.tex, doc/rand-lognormal.tex, doc/rand-nbinomial.tex, doc/rand-pareto.tex, doc/rand-pascal.tex, doc/rand-poisson.tex, doc/rand-rayleigh-tail.tex, doc/rand-rayleigh.tex, doc/rand-tdist.tex, doc/rand-weibull.tex, doc/randist.texi, doc/random-walk.tex, doc/randplots.gnp, doc/rng.texi, doc/roots-bisection.eps, doc/roots-false-position.eps, doc/roots-newtons-method.eps, doc/roots-secant-method.eps, doc/roots.texi, doc/siman-energy.eps, doc/siman-test.eps, doc/siman.texi, doc/sort.texi, doc/specfunc-airy.texi, doc/specfunc-bessel.texi, doc/specfunc-clausen.texi, doc/specfunc-coulomb.texi, doc/specfunc-coupling.texi, doc/specfunc-dawson.texi, doc/specfunc-debye.texi, doc/specfunc-dilog.texi, doc/specfunc-elementary.texi, doc/specfunc-ellint.texi, doc/specfunc-elljac.texi, doc/specfunc-erf.texi, doc/specfunc-exp.texi, doc/specfunc-expint.texi, doc/specfunc-fermi-dirac.texi, doc/specfunc-gamma.texi, doc/specfunc-gegenbauer.texi, doc/specfunc-hyperg.texi, doc/specfunc-laguerre.texi, doc/specfunc-lambert.texi, doc/specfunc-legendre.texi, doc/specfunc-log.texi, doc/specfunc-mathieu.texi, doc/specfunc-pow-int.texi, doc/specfunc-psi.texi, doc/specfunc-synchrotron.texi, doc/specfunc-transport.texi, doc/specfunc-trig.texi, doc/specfunc-zeta.texi, doc/specfunc.texi, doc/stamp-vti, doc/statistics.texi, doc/sum.texi, doc/texinfo.tex, doc/usage.texi, doc/vdp.eps, doc/vectors.texi, doc/version-ref.texi, doc/examples/blas.c, doc/examples/blas.out, doc/examples/block.c, doc/examples/block.out, doc/examples/bspline.c, doc/examples/cblas.c, doc/examples/cblas.out, doc/examples/cdf.c, doc/examples/cdf.out, doc/examples/cheb.c, doc/examples/combination.c, doc/examples/combination.out, doc/examples/const.c, doc/examples/const.out, doc/examples/demo_fn.c, doc/examples/demo_fn.h, doc/examples/diff.c, doc/examples/diff.out, doc/examples/dwt.c, doc/examples/dwt.dat, doc/examples/ecg.dat, doc/examples/eigen.c, doc/examples/eigen_nonsymm.c, doc/examples/expfit.c, doc/examples/fft.c, doc/examples/fftmr.c, doc/examples/fftreal.c, doc/examples/fitting.c, doc/examples/fitting2.c, doc/examples/fitting3.c, doc/examples/histogram.c, doc/examples/histogram2d.c, doc/examples/ieee.c, doc/examples/ieeeround.c, doc/examples/integration.c, doc/examples/integration.out, doc/examples/interp.c, doc/examples/interpp.c, doc/examples/intro.c, doc/examples/intro.out, doc/examples/linalglu.c, doc/examples/linalglu.out, doc/examples/matrix.c, doc/examples/matrixw.c, doc/examples/min.c, doc/examples/min.out, doc/examples/monte.c, doc/examples/nlfit.c, doc/examples/ntupler.c, doc/examples/ntuplew.c, doc/examples/ode-initval.c, doc/examples/odefixed.c, doc/examples/permseq.c, doc/examples/permshuffle.c, doc/examples/polyroots.c, doc/examples/polyroots.out, doc/examples/qrng.c, doc/examples/randpoisson.2.out, doc/examples/randpoisson.c, doc/examples/randpoisson.out, doc/examples/randwalk.c, doc/examples/rng.c, doc/examples/rng.out, doc/examples/rngunif.2.out, doc/examples/rngunif.c, doc/examples/rngunif.out, doc/examples/rootnewt.c, doc/examples/roots.c, doc/examples/siman.c, doc/examples/sortsmall.c, doc/examples/sortsmall.out, doc/examples/specfun.c, doc/examples/specfun.out, doc/examples/specfun_e.c, doc/examples/specfun_e.out, doc/examples/stat.c, doc/examples/stat.out, doc/examples/statsort.c, doc/examples/statsort.out, doc/examples/sum.c, doc/examples/sum.out, doc/examples/vector.c, doc/examples/vectorr.c, doc/examples/vectorview.c, doc/examples/vectorview.out, doc/examples/vectorw.c, eigen/ChangeLog, eigen/Makefile.am, eigen/Makefile.in, eigen/TODO, eigen/francis.c, eigen/gsl_eigen.h, eigen/herm.c, eigen/hermv.c, eigen/jacobi.c, eigen/nonsymm.c, eigen/nonsymmv.c, eigen/qrstep.c, eigen/schur.c, eigen/schur.h, eigen/sort.c, eigen/symm.c, eigen/symmv.c, eigen/test.c, err/ChangeLog, 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vector/gsl_vector_complex_float.h, vector/gsl_vector_complex_long_double.h, vector/gsl_vector_double.h, vector/gsl_vector_float.h, vector/gsl_vector_int.h, vector/gsl_vector_long.h, vector/gsl_vector_long_double.h, vector/gsl_vector_short.h, vector/gsl_vector_uchar.h, vector/gsl_vector_uint.h, vector/gsl_vector_ulong.h, vector/gsl_vector_ushort.h, vector/init.c, vector/init_source.c, vector/minmax.c, vector/minmax_source.c, vector/oper.c, vector/oper_source.c, vector/prop.c, vector/prop_source.c, vector/reim.c, vector/reim_source.c, vector/subvector.c, vector/subvector_source.c, vector/swap.c, vector/swap_source.c, vector/test.c, vector/test_complex_source.c, vector/test_source.c, vector/test_static.c, vector/vector.c, vector/vector_source.c, vector/view.c, vector/view.h, vector/view_source.c, wavelet/ChangeLog, wavelet/Makefile.am, wavelet/Makefile.in, wavelet/TODO, wavelet/bspline.c, wavelet/daubechies.c, wavelet/dwt.c, wavelet/gsl_wavelet.h, wavelet/gsl_wavelet2d.h, wavelet/haar.c, wavelet/test.c, wavelet/wavelet.c: New files.
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+@cindex Monte Carlo integration
+@cindex stratified sampling in monte carlo integration
+This chapter describes routines for multidimensional Monte Carlo
+integration. These include the traditional Monte Carlo method and
+adaptive algorithms such as @sc{vegas} and @sc{miser} which use
+importance sampling and stratified sampling techniques. Each algorithm
+computes an estimate of a multidimensional definite integral of the
+form,
+@tex
+\beforedisplay
+$$
+I = \int_{x_l}^{x_u} dx\,\int_{y_l}^{y_u}dy\,... f(x,y,...)
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+I = \int_xl^xu dx \int_yl^yu dy ... f(x, y, ...)
+@end example
+
+@end ifinfo
+@noindent
+over a hypercubic region @math{((x_l,x_u)}, @math{(y_l,y_u), ...)} using
+a fixed number of function calls. The routines also provide a
+statistical estimate of the error on the result. This error estimate
+should be taken as a guide rather than as a strict error bound---random
+sampling of the region may not uncover all the important features
+of the function, resulting in an underestimate of the error.
+
+The functions are defined in separate header files for each routine,
+@code{gsl_monte_plain.h}, @file{gsl_monte_miser.h} and
+@file{gsl_monte_vegas.h}.
+
+@menu
+* Monte Carlo Interface::
+* PLAIN Monte Carlo::
+* MISER::
+* VEGAS::
+* Monte Carlo Examples::
+* Monte Carlo Integration References and Further Reading::
+@end menu
+
+@node Monte Carlo Interface
+@section Interface
+All of the Monte Carlo integration routines use the same general form of
+interface. There is an allocator to allocate memory for control
+variables and workspace, a routine to initialize those control
+variables, the integrator itself, and a function to free the space when
+done.
+
+Each integration function requires a random number generator to be
+supplied, and returns an estimate of the integral and its standard
+deviation. The accuracy of the result is determined by the number of
+function calls specified by the user. If a known level of accuracy is
+required this can be achieved by calling the integrator several times
+and averaging the individual results until the desired accuracy is
+obtained.
+
+Random sample points used within the Monte Carlo routines are always
+chosen strictly within the integration region, so that endpoint
+singularities are automatically avoided.
+
+The function to be integrated has its own datatype, defined in the
+header file @file{gsl_monte.h}.
+
+@deftp {Data Type} gsl_monte_function
+
+This data type defines a general function with parameters for Monte
+Carlo integration.
+
+@table @code
+@item double (* f) (double * @var{x}, size_t @var{dim}, void * @var{params})
+this function should return the value
+@c{$f(x,\hbox{\it params})$}
+@math{f(x,params)} for the argument @var{x} and parameters @var{params},
+where @var{x} is an array of size @var{dim} giving the coordinates of
+the point where the function is to be evaluated.
+
+@item size_t dim
+the number of dimensions for @var{x}.
+
+@item void * params
+a pointer to the parameters of the function.
+@end table
+@end deftp
+
+@noindent
+Here is an example for a quadratic function in two dimensions,
+@tex
+\beforedisplay
+$$
+f(x,y) = a x^2 + b x y + c y^2
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+f(x,y) = a x^2 + b x y + c y^2
+@end example
+
+@end ifinfo
+@noindent
+with @math{a = 3}, @math{b = 2}, @math{c = 1}. The following code
+defines a @code{gsl_monte_function} @code{F} which you could pass to an
+integrator:
+
+@example
+struct my_f_params @{ double a; double b; double c; @};
+
+double
+my_f (double x[], size_t dim, void * p) @{
+ struct my_f_params * fp = (struct my_f_params *)p;
+
+ if (dim != 2)
+ @{
+ fprintf (stderr, "error: dim != 2");
+ abort ();
+ @}
+
+ return fp->a * x[0] * x[0]
+ + fp->b * x[0] * x[1]
+ + fp->c * x[1] * x[1];
+@}
+
+gsl_monte_function F;
+struct my_f_params params = @{ 3.0, 2.0, 1.0 @};
+
+F.f = &my_f;
+F.dim = 2;
+F.params = &params;
+@end example
+
+@noindent
+The function @math{f(x)} can be evaluated using the following macro,
+
+@example
+#define GSL_MONTE_FN_EVAL(F,x)
+ (*((F)->f))(x,(F)->dim,(F)->params)
+@end example
+
+@node PLAIN Monte Carlo
+@section PLAIN Monte Carlo
+@cindex plain monte carlo
+The plain Monte Carlo algorithm samples points randomly from the
+integration region to estimate the integral and its error. Using this
+algorithm the estimate of the integral @math{E(f; N)} for @math{N}
+randomly distributed points @math{x_i} is given by,
+@tex
+\beforedisplay
+$$
+E(f; N) = V \langle f \rangle = {V \over N} \sum_i^N f(x_i)
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+E(f; N) = = V <f> = (V / N) \sum_i^N f(x_i)
+@end example
+
+@end ifinfo
+@noindent
+where @math{V} is the volume of the integration region. The error on
+this estimate @math{\sigma(E;N)} is calculated from the estimated
+variance of the mean,
+@tex
+\beforedisplay
+$$
+\sigma^2 (E; N) = {V \over N } \sum_i^N (f(x_i) - \langle f \rangle)^2.
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+\sigma^2 (E; N) = (V / N) \sum_i^N (f(x_i) - <f>)^2.
+@end example
+
+@end ifinfo
+@noindent
+For large @math{N} this variance decreases asymptotically as
+@math{\Var(f)/N}, where @math{\Var(f)} is the true variance of the
+function over the integration region. The error estimate itself should
+decrease as @c{$\sigma(f)/\sqrt{N}$}
+@math{\sigma(f)/\sqrt@{N@}}. The familiar law of errors
+decreasing as @c{$1/\sqrt{N}$}
+@math{1/\sqrt@{N@}} applies---to reduce the error by a
+factor of 10 requires a 100-fold increase in the number of sample
+points.
+
+The functions described in this section are declared in the header file
+@file{gsl_monte_plain.h}.
+
+@deftypefun {gsl_monte_plain_state *} gsl_monte_plain_alloc (size_t @var{dim})
+This function allocates and initializes a workspace for Monte Carlo
+integration in @var{dim} dimensions.
+@end deftypefun
+
+@deftypefun int gsl_monte_plain_init (gsl_monte_plain_state* @var{s})
+This function initializes a previously allocated integration state.
+This allows an existing workspace to be reused for different
+integrations.
+@end deftypefun
+
+@deftypefun int gsl_monte_plain_integrate (gsl_monte_function * @var{f}, double * @var{xl}, double * @var{xu}, size_t @var{dim}, size_t @var{calls}, gsl_rng * @var{r}, gsl_monte_plain_state * @var{s}, double * @var{result}, double * @var{abserr})
+This routines uses the plain Monte Carlo algorithm to integrate the
+function @var{f} over the @var{dim}-dimensional hypercubic region
+defined by the lower and upper limits in the arrays @var{xl} and
+@var{xu}, each of size @var{dim}. The integration uses a fixed number
+of function calls @var{calls}, and obtains random sampling points using
+the random number generator @var{r}. A previously allocated workspace
+@var{s} must be supplied. The result of the integration is returned in
+@var{result}, with an estimated absolute error @var{abserr}.
+@end deftypefun
+
+@deftypefun void gsl_monte_plain_free (gsl_monte_plain_state * @var{s})
+This function frees the memory associated with the integrator state
+@var{s}.
+@end deftypefun
+
+@node MISER
+@section MISER
+@cindex MISER monte carlo integration
+@cindex recursive stratified sampling, MISER
+
+The @sc{miser} algorithm of Press and Farrar is based on recursive
+stratified sampling. This technique aims to reduce the overall
+integration error by concentrating integration points in the regions of
+highest variance.
+
+The idea of stratified sampling begins with the observation that for two
+disjoint regions @math{a} and @math{b} with Monte Carlo estimates of the
+integral @math{E_a(f)} and @math{E_b(f)} and variances
+@math{\sigma_a^2(f)} and @math{\sigma_b^2(f)}, the variance
+@math{\Var(f)} of the combined estimate
+@c{$E(f) = {1\over 2} (E_a(f) + E_b(f))$}
+@math{E(f) = (1/2) (E_a(f) + E_b(f))}
+is given by,
+@tex
+\beforedisplay
+$$
+\Var(f) = {\sigma_a^2(f) \over 4 N_a} + {\sigma_b^2(f) \over 4 N_b}.
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+\Var(f) = (\sigma_a^2(f) / 4 N_a) + (\sigma_b^2(f) / 4 N_b).
+@end example
+
+@end ifinfo
+@noindent
+It can be shown that this variance is minimized by distributing the
+points such that,
+@tex
+\beforedisplay
+$$
+{N_a \over N_a+N_b} = {\sigma_a \over \sigma_a + \sigma_b}.
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+N_a / (N_a + N_b) = \sigma_a / (\sigma_a + \sigma_b).
+@end example
+
+@end ifinfo
+@noindent
+Hence the smallest error estimate is obtained by allocating sample
+points in proportion to the standard deviation of the function in each
+sub-region.
+
+The @sc{miser} algorithm proceeds by bisecting the integration region
+along one coordinate axis to give two sub-regions at each step. The
+direction is chosen by examining all @math{d} possible bisections and
+selecting the one which will minimize the combined variance of the two
+sub-regions. The variance in the sub-regions is estimated by sampling
+with a fraction of the total number of points available to the current
+step. The same procedure is then repeated recursively for each of the
+two half-spaces from the best bisection. The remaining sample points are
+allocated to the sub-regions using the formula for @math{N_a} and
+@math{N_b}. This recursive allocation of integration points continues
+down to a user-specified depth where each sub-region is integrated using
+a plain Monte Carlo estimate. These individual values and their error
+estimates are then combined upwards to give an overall result and an
+estimate of its error.
+
+The functions described in this section are declared in the header file
+@file{gsl_monte_miser.h}.
+
+@deftypefun {gsl_monte_miser_state *} gsl_monte_miser_alloc (size_t @var{dim})
+This function allocates and initializes a workspace for Monte Carlo
+integration in @var{dim} dimensions. The workspace is used to maintain
+the state of the integration.
+@end deftypefun
+
+@deftypefun int gsl_monte_miser_init (gsl_monte_miser_state* @var{s})
+This function initializes a previously allocated integration state.
+This allows an existing workspace to be reused for different
+integrations.
+@end deftypefun
+
+@deftypefun int gsl_monte_miser_integrate (gsl_monte_function * @var{f}, double * @var{xl}, double * @var{xu}, size_t @var{dim}, size_t @var{calls}, gsl_rng * @var{r}, gsl_monte_miser_state * @var{s}, double * @var{result}, double * @var{abserr})
+This routines uses the @sc{miser} Monte Carlo algorithm to integrate the
+function @var{f} over the @var{dim}-dimensional hypercubic region
+defined by the lower and upper limits in the arrays @var{xl} and
+@var{xu}, each of size @var{dim}. The integration uses a fixed number
+of function calls @var{calls}, and obtains random sampling points using
+the random number generator @var{r}. A previously allocated workspace
+@var{s} must be supplied. The result of the integration is returned in
+@var{result}, with an estimated absolute error @var{abserr}.
+@end deftypefun
+
+@deftypefun void gsl_monte_miser_free (gsl_monte_miser_state * @var{s})
+This function frees the memory associated with the integrator state
+@var{s}.
+@end deftypefun
+
+The @sc{miser} algorithm has several configurable parameters. The
+following variables can be accessed through the
+@code{gsl_monte_miser_state} struct,
+
+@deftypevar double estimate_frac
+This parameter specifies the fraction of the currently available number of
+function calls which are allocated to estimating the variance at each
+recursive step. The default value is 0.1.
+@end deftypevar
+
+@deftypevar size_t min_calls
+This parameter specifies the minimum number of function calls required
+for each estimate of the variance. If the number of function calls
+allocated to the estimate using @var{estimate_frac} falls below
+@var{min_calls} then @var{min_calls} are used instead. This ensures
+that each estimate maintains a reasonable level of accuracy. The
+default value of @var{min_calls} is @code{16 * dim}.
+@end deftypevar
+
+@deftypevar size_t min_calls_per_bisection
+This parameter specifies the minimum number of function calls required
+to proceed with a bisection step. When a recursive step has fewer calls
+available than @var{min_calls_per_bisection} it performs a plain Monte
+Carlo estimate of the current sub-region and terminates its branch of
+the recursion. The default value of this parameter is @code{32 *
+min_calls}.
+@end deftypevar
+
+@deftypevar double alpha
+This parameter controls how the estimated variances for the two
+sub-regions of a bisection are combined when allocating points. With
+recursive sampling the overall variance should scale better than
+@math{1/N}, since the values from the sub-regions will be obtained using
+a procedure which explicitly minimizes their variance. To accommodate
+this behavior the @sc{miser} algorithm allows the total variance to
+depend on a scaling parameter @math{\alpha},
+@tex
+\beforedisplay
+$$
+\Var(f) = {\sigma_a \over N_a^\alpha} + {\sigma_b \over N_b^\alpha}.
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+\Var(f) = @{\sigma_a \over N_a^\alpha@} + @{\sigma_b \over N_b^\alpha@}.
+@end example
+
+@end ifinfo
+@noindent
+The authors of the original paper describing @sc{miser} recommend the
+value @math{\alpha = 2} as a good choice, obtained from numerical
+experiments, and this is used as the default value in this
+implementation.
+@end deftypevar
+
+@deftypevar double dither
+This parameter introduces a random fractional variation of size
+@var{dither} into each bisection, which can be used to break the
+symmetry of integrands which are concentrated near the exact center of
+the hypercubic integration region. The default value of dither is zero,
+so no variation is introduced. If needed, a typical value of
+@var{dither} is 0.1.
+@end deftypevar
+
+@node VEGAS
+@section VEGAS
+@cindex VEGAS monte carlo integration
+@cindex importance sampling, VEGAS
+
+The @sc{vegas} algorithm of Lepage is based on importance sampling. It
+samples points from the probability distribution described by the
+function @math{|f|}, so that the points are concentrated in the regions
+that make the largest contribution to the integral.
+
+In general, if the Monte Carlo integral of @math{f} is sampled with
+points distributed according to a probability distribution described by
+the function @math{g}, we obtain an estimate @math{E_g(f; N)},
+@tex
+\beforedisplay
+$$
+E_g(f; N) = E(f/g; N)
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+E_g(f; N) = E(f/g; N)
+@end example
+
+@end ifinfo
+@noindent
+with a corresponding variance,
+@tex
+\beforedisplay
+$$
+\Var_g(f; N) = \Var(f/g; N).
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+\Var_g(f; N) = \Var(f/g; N).
+@end example
+
+@end ifinfo
+@noindent
+If the probability distribution is chosen as @math{g = |f|/I(|f|)} then
+it can be shown that the variance @math{V_g(f; N)} vanishes, and the
+error in the estimate will be zero. In practice it is not possible to
+sample from the exact distribution @math{g} for an arbitrary function, so
+importance sampling algorithms aim to produce efficient approximations
+to the desired distribution.
+
+The @sc{vegas} algorithm approximates the exact distribution by making a
+number of passes over the integration region while histogramming the
+function @math{f}. Each histogram is used to define a sampling
+distribution for the next pass. Asymptotically this procedure converges
+to the desired distribution. In order
+to avoid the number of histogram bins growing like @math{K^d} the
+probability distribution is approximated by a separable function:
+@c{$g(x_1, x_2,\ldots) = g_1(x_1) g_2(x_2)\ldots$}
+@math{g(x_1, x_2, ...) = g_1(x_1) g_2(x_2) ...}
+so that the number of bins required is only @math{Kd}.
+This is equivalent to locating the peaks of the function from the
+projections of the integrand onto the coordinate axes. The efficiency
+of @sc{vegas} depends on the validity of this assumption. It is most
+efficient when the peaks of the integrand are well-localized. If an
+integrand can be rewritten in a form which is approximately separable
+this will increase the efficiency of integration with @sc{vegas}.
+
+@sc{vegas} incorporates a number of additional features, and combines both
+stratified sampling and importance sampling. The integration region is
+divided into a number of ``boxes'', with each box getting a fixed
+number of points (the goal is 2). Each box can then have a fractional
+number of bins, but if the ratio of bins-per-box is less than two, Vegas switches to a
+kind variance reduction (rather than importance sampling).
+
+
+@deftypefun {gsl_monte_vegas_state *} gsl_monte_vegas_alloc (size_t @var{dim})
+This function allocates and initializes a workspace for Monte Carlo
+integration in @var{dim} dimensions. The workspace is used to maintain
+the state of the integration.
+@end deftypefun
+
+@deftypefun int gsl_monte_vegas_init (gsl_monte_vegas_state* @var{s})
+This function initializes a previously allocated integration state.
+This allows an existing workspace to be reused for different
+integrations.
+@end deftypefun
+
+@deftypefun int gsl_monte_vegas_integrate (gsl_monte_function * @var{f}, double * @var{xl}, double * @var{xu}, size_t @var{dim}, size_t @var{calls}, gsl_rng * @var{r}, gsl_monte_vegas_state * @var{s}, double * @var{result}, double * @var{abserr})
+This routines uses the @sc{vegas} Monte Carlo algorithm to integrate the
+function @var{f} over the @var{dim}-dimensional hypercubic region
+defined by the lower and upper limits in the arrays @var{xl} and
+@var{xu}, each of size @var{dim}. The integration uses a fixed number
+of function calls @var{calls}, and obtains random sampling points using
+the random number generator @var{r}. A previously allocated workspace
+@var{s} must be supplied. The result of the integration is returned in
+@var{result}, with an estimated absolute error @var{abserr}. The result
+and its error estimate are based on a weighted average of independent
+samples. The chi-squared per degree of freedom for the weighted average
+is returned via the state struct component, @var{s->chisq}, and must be
+consistent with 1 for the weighted average to be reliable.
+@end deftypefun
+
+@deftypefun void gsl_monte_vegas_free (gsl_monte_vegas_state * @var{s})
+This function frees the memory associated with the integrator state
+@var{s}.
+@end deftypefun
+
+The @sc{vegas} algorithm computes a number of independent estimates of the
+integral internally, according to the @code{iterations} parameter
+described below, and returns their weighted average. Random sampling of
+the integrand can occasionally produce an estimate where the error is
+zero, particularly if the function is constant in some regions. An
+estimate with zero error causes the weighted average to break down and
+must be handled separately. In the original Fortran implementations of
+@sc{vegas} the error estimate is made non-zero by substituting a small
+value (typically @code{1e-30}). The implementation in GSL differs from
+this and avoids the use of an arbitrary constant---it either assigns
+the value a weight which is the average weight of the preceding
+estimates or discards it according to the following procedure,
+
+@table @asis
+@item current estimate has zero error, weighted average has finite error
+
+The current estimate is assigned a weight which is the average weight of
+the preceding estimates.
+
+@item current estimate has finite error, previous estimates had zero error
+
+The previous estimates are discarded and the weighted averaging
+procedure begins with the current estimate.
+
+@item current estimate has zero error, previous estimates had zero error
+
+The estimates are averaged using the arithmetic mean, but no error is computed.
+@end table
+
+The @sc{vegas} algorithm is highly configurable. The following variables
+can be accessed through the @code{gsl_monte_vegas_state} struct,
+
+@deftypevar double result
+@deftypevarx double sigma
+These parameters contain the raw value of the integral @var{result} and
+its error @var{sigma} from the last iteration of the algorithm.
+@end deftypevar
+
+@deftypevar double chisq
+This parameter gives the chi-squared per degree of freedom for the
+weighted estimate of the integral. The value of @var{chisq} should be
+close to 1. A value of @var{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.
+@end deftypevar
+
+@deftypevar double alpha
+The parameter @code{alpha} controls the stiffness of the rebinning
+algorithm. It is typically set between one and two. A value of zero
+prevents rebinning of the grid. The default value is 1.5.
+@end deftypevar
+
+@deftypevar size_t iterations
+The number of iterations to perform for each call to the routine. The
+default value is 5 iterations.
+@end deftypevar
+
+@deftypevar int stage
+Setting this determines the @dfn{stage} of the calculation. Normally,
+@code{stage = 0} which begins with a new uniform grid and empty weighted
+average. Calling vegas with @code{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 @code{stage = 1} on the optimized grid. Setting @code{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 @code{stage = 3}
+enters at the main loop, so that nothing is changed, and is equivalent
+to performing additional iterations in a previous call.
+@end deftypevar
+
+@deftypevar int mode
+The possible choices are @code{GSL_VEGAS_MODE_IMPORTANCE},
+@code{GSL_VEGAS_MODE_STRATIFIED}, @code{GSL_VEGAS_MODE_IMPORTANCE_ONLY}.
+This determines whether @sc{vegas} will use importance sampling or
+stratified sampling, or whether it can pick on its own. In low
+dimensions @sc{vegas} uses strict stratified sampling (more precisely,
+stratified sampling is chosen if there are fewer than 2 bins per box).
+@end deftypevar
+
+@deftypevar int verbose
+@deftypevarx {FILE *} ostream
+These parameters set the level of information printed by @sc{vegas}. All
+information is written to the stream @var{ostream}. The default setting
+of @var{verbose} is @code{-1}, which turns off all output. A
+@var{verbose} value of @code{0} prints summary information about the
+weighted average and final result, while a value of @code{1} also
+displays the grid coordinates. A value of @code{2} prints information
+from the rebinning procedure for each iteration.
+@end deftypevar
+
+@node Monte Carlo Examples
+@section Examples
+
+The example program below uses the Monte Carlo routines to estimate the
+value of the following 3-dimensional integral from the theory of random
+walks,
+@tex
+\beforedisplay
+$$
+I = \int_{-\pi}^{+\pi} {dk_x \over 2\pi}
+ \int_{-\pi}^{+\pi} {dk_y \over 2\pi}
+ \int_{-\pi}^{+\pi} {dk_z \over 2\pi}
+ { 1 \over (1 - \cos(k_x)\cos(k_y)\cos(k_z))}.
+$$
+\afterdisplay
+@end tex
+@ifinfo
+
+@example
+I = \int_@{-pi@}^@{+pi@} @{dk_x/(2 pi)@}
+ \int_@{-pi@}^@{+pi@} @{dk_y/(2 pi)@}
+ \int_@{-pi@}^@{+pi@} @{dk_z/(2 pi)@}
+ 1 / (1 - cos(k_x)cos(k_y)cos(k_z)).
+@end example
+
+@end ifinfo
+@noindent
+The analytic value of this integral can be shown to be @math{I =
+\Gamma(1/4)^4/(4 \pi^3) = 1.393203929685676859...}. The integral gives
+the mean time spent at the origin by a random walk on a body-centered
+cubic lattice in three dimensions.
+
+For simplicity we will compute the integral over the region
+@math{(0,0,0)} to @math{(\pi,\pi,\pi)} and multiply by 8 to obtain the
+full result. The integral is slowly varying in the middle of the region
+but has integrable singularities at the corners @math{(0,0,0)},
+@math{(0,\pi,\pi)}, @math{(\pi,0,\pi)} and @math{(\pi,\pi,0)}. The
+Monte Carlo routines only select points which are strictly within the
+integration region and so no special measures are needed to avoid these
+singularities.
+
+@smallexample
+@verbatiminclude examples/monte.c
+@end smallexample
+
+@noindent
+With 500,000 function calls the plain Monte Carlo algorithm achieves a
+fractional error of 0.6%. The estimated error @code{sigma} is
+consistent with the actual error, and the computed result differs from
+the true result by about one standard deviation,
+
+@example
+plain ==================
+result = 1.385867
+sigma = 0.007938
+exact = 1.393204
+error = -0.007337 = 0.9 sigma
+@end example
+
+@noindent
+The @sc{miser} algorithm reduces the error by a factor of two, and also
+correctly estimates the error,
+
+@example
+miser ==================
+result = 1.390656
+sigma = 0.003743
+exact = 1.393204
+error = -0.002548 = 0.7 sigma
+@end example
+
+@noindent
+In the case of the @sc{vegas} algorithm the program uses an initial
+warm-up run of 10,000 function calls to prepare, or ``warm up'', the grid.
+This is followed by a main run with five iterations of 100,000 function
+calls. The chi-squared per degree of freedom for the five iterations are
+checked for consistency with 1, and the run is repeated if the results
+have not converged. In this case the estimates are consistent on the
+first pass.
+
+@example
+vegas warm-up ==================
+result = 1.386925
+sigma = 0.002651
+exact = 1.393204
+error = -0.006278 = 2 sigma
+converging...
+result = 1.392957 sigma = 0.000452 chisq/dof = 1.1
+vegas final ==================
+result = 1.392957
+sigma = 0.000452
+exact = 1.393204
+error = -0.000247 = 0.5 sigma
+@end example
+
+@noindent
+If the value of @code{chisq} had differed significantly from 1 it would
+indicate inconsistent results, with a correspondingly underestimated
+error. The final estimate from @sc{vegas} (using a similar number of
+function calls) is significantly more accurate than the other two
+algorithms.
+
+@node Monte Carlo Integration References and Further Reading
+@section References and Further Reading
+
+The @sc{miser} algorithm is described in the following article by Press
+and Farrar,
+
+@itemize @asis
+@item
+W.H. Press, G.R. Farrar, @cite{Recursive Stratified Sampling for
+Multidimensional Monte Carlo Integration},
+Computers in Physics, v4 (1990), pp190--195.
+@end itemize
+
+@noindent
+The @sc{vegas} algorithm is described in the following papers,
+
+@itemize @asis
+@item
+G.P. Lepage,
+@cite{A New Algorithm for Adaptive Multidimensional Integration},
+Journal of Computational Physics 27, 192--203, (1978)
+
+@item
+G.P. Lepage,
+@cite{VEGAS: An Adaptive Multi-dimensional Integration Program},
+Cornell preprint CLNS 80-447, March 1980
+@end itemize
+