|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'506'133
Articles rated: 2609
27 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
Adaptive Multidimensional Integration: VEGAS Enhanced | | G. Peter Lepage
; | | Date: |
10 Sep 2020 | | Abstract: | We describe a new algorithm, VEGAS+, for adaptive multidimensional Monte
Carlo integration. The new algorithm adds a second adaptive strategy, adaptive
stratified sampling, to the adaptive importance sampling that is the basis for
its widely used predecessor VEGAS. Both VEGAS and VEGAS+ are effective for
integrands with large peaks, but VEGAS+ can be much more effective for
integrands with multiple peaks or other significant structures aligned with
diagonals of the integration volume. We give examples where VEGAS+ is 2-17
times more accurate than VEGAS. We also show how to combine VEGAS+ with other
integrators, such as the widely available MISER algorithm, to make new hybrid
integrators. For a different kind of hybrid, we show how to use integrand
samples, generated using MCMC or other methods, to optimize VEGAS+ before
integrating. We give an example where preconditioned VEGAS+ is more than 100
times as efficient as VEGAS+ without preconditio ing. Finally, we give examples
where VEGAS+ is more than 10 times as efficient as MCMC for Bayesian integrals
with D = 3 and 21 parameters. We explain why VEGAS+ will often outperform MCMC
for small and moderate sized problems. | | Source: | arXiv, 2009.05112 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER