Numerical integration using Monte Carlo. More...

#include <MonteCarloQuadrature.h>

Inheritance diagram for QUESO::MonteCarloQuadrature< V, M >:

Collaboration diagram for QUESO::MonteCarloQuadrature< V, M >:

Public Member Functions
	MonteCarloQuadrature (const VectorSubset< V, M > &domain, unsigned int n_samples)

virtual	~MonteCarloQuadrature ()

Public Member Functions inherited from QUESO::MultiDQuadratureBase< V, M >
	MultiDQuadratureBase (const VectorSubset< V, M > &domain)

virtual	~MultiDQuadratureBase ()=0
	Pure virtual destructor, forcing this to be an abstract object. More...

const std::vector< typename QUESO::SharedPtr< V >::Type > &	positions () const

const VectorSubset< V, M > &	getDomain () const

Public Member Functions inherited from QUESO::BaseQuadrature
	BaseQuadrature ()

virtual	~BaseQuadrature ()=0
	Pure virtual destructor, forcing this to be an abstract object. More...

const std::vector< double > &	weights () const
	Array of the weights used in the numerical integration. More...

Additional Inherited Members
Protected Attributes inherited from QUESO::MultiDQuadratureBase< V, M >
std::vector< typename QUESO::SharedPtr< V >::Type >	m_positions
	Locations of quadrature points. More...

const VectorSubset< V, M > &	m_domain
	Domain over which the quadrature will be performed. More...

Protected Attributes inherited from QUESO::BaseQuadrature
std::vector< double >	m_weights

Detailed Description

template<class V = GslVector, class M = GslMatrix>
class QUESO::MonteCarloQuadrature< V, M >

Numerical integration using Monte Carlo.

Monte Carlo integration approximates an integral by randomly sampling the function. Namely, if $<f> = 1/|\Omega| \int_{\Omega} f(x) \; dx$ is the average, then

$\int_{\Omega} f(x) \; dx = |\Omega| <f> \approx |\Omega| \frac{1}{N} \sum_{i=1}^N f(x_i)$

where $N$ is the number of samples. This class, then, uniformly samples over the user-specified domain for the given number of samples. Then, to adhere to the quadrature interface, the positions are accessible in the positions vector and the factor $|\Omega|/N$ is cached in the weights vector.

Definition at line 47 of file MonteCarloQuadrature.h.

Constructor & Destructor Documentation

template<class V , class M >

QUESO::MonteCarloQuadrature< V, M >::MonteCarloQuadrature	(	const VectorSubset< V, M > &	domain,
		unsigned int	n_samples
	)

Definition at line 33 of file MonteCarloQuadrature.C.

References QUESO::MultiDQuadratureBase< V, M >::m_domain, QUESO::MultiDQuadratureBase< V, M >::m_positions, QUESO::BaseQuadrature::m_weights, QUESO::BaseVectorRealizer< V, M >::realization(), QUESO::BaseVectorRV< V, M >::realizer(), QUESO::VectorSubset< V, M >::vectorSpace(), and QUESO::VectorSet< V, M >::volume().

     : MultiDQuadratureBase<V,M>(domain)
   {
     // We'll just uniformly sample over the domain to retrieve the quadrature
     // points.
     UniformVectorRV<V,M> uniform_rv("MonteCarloQuadrature_", //prefix
                                     this->m_domain);
 
     const BaseVectorRealizer< V, M > & realizer = uniform_rv.realizer();
 
     this->m_positions.resize(n_samples,SharedPtr<GslVector>::Type());
 
     for( unsigned int i = 0; i < n_samples; i++ )
       {
         // Create new vector from our vector space
         // We are taking ownership of this pointer.
         typename QUESO::SharedPtr<V>::Type domain_vec(domain.vectorSpace().newVector());
 
         // Draw the new point
         realizer.realization(*domain_vec);
 
         // This is now the quadrature point position
         this->m_positions[i] = domain_vec;
       }
 
     // The weights are just the scaling factor for the MC sum
     this->m_weights.resize(n_samples,domain.volume()/(double)(n_samples));
   }

template<class V = GslVector, class M = GslMatrix>

virtual QUESO::MonteCarloQuadrature< V, M >::~MonteCarloQuadrature ( )

inlinevirtual

Definition at line 54 of file MonteCarloQuadrature.h.

54 {}

The documentation for this class was generated from the following files:

src/misc/inc/MonteCarloQuadrature.h
src/misc/src/MonteCarloQuadrature.C

Public Member Functions

Additional Inherited Members

Detailed Description

template<class V = GslVector, class M = GslMatrix> class QUESO::MonteCarloQuadrature< V, M >

Constructor & Destructor Documentation

template<class V = GslVector, class M = GslMatrix>
class QUESO::MonteCarloQuadrature< V, M >