-
Notifications
You must be signed in to change notification settings - Fork 0
/
rqmcintegrator.cpp
48 lines (41 loc) · 1.16 KB
/
rqmcintegrator.cpp
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
#include <rqmcintegrator.h>
#include <utils.h>
#include <vector>
#include <cmath>
Integrator::Status RQMCIntegrator::integrate(
Integrand &f,
const Hypercube &h,
Index n, real, real,
EstErr &ee)
{
checkDimension(h, f);
if (n == 0)
{
ee.set(0.0, 0.0);
return ERROR;
}
ps->setCube(&h);
n = ps->getOptimalNumber(n, h);
ps->enableRandomize();
if (randCount == 0) return ERROR;
int m = n / randCount;
std::vector<Statistic<>> stats(randCount);
std::default_random_engine e(globalSeed);
for (unsigned int i = 0; i < randCount; i++)
{
Statistic<> s;
Point point(h.getDimension());
int seed = e();
ps->randomize(seed);
ps->integrate(point, f, m, s);
stats[i] = s;
}
std::vector<double> estimates;
estimates.reserve(randCount);
for (auto x : stats) estimates.push_back(x.getMean() * h.getVolume());
double rqmcEst = sum(estimates) / randCount;
double rqmcStdError = std::sqrt(var(estimates) / randCount);
if (randCount == 1) rqmcStdError = 0;
ee.set(rqmcEst, rqmcStdError);
return MAX_EVAL_REACHED;
}