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Re: [Help-gsl] Monte carlo integration

From: Brian Gough
Subject: Re: [Help-gsl] Monte carlo integration
Date: Thu, 22 Apr 2004 10:59:58 +0100

Sergio Dominguez writes:
 > The integral would be something like
 > \int_A1 \int_A2 exp(-a*l) dA1 dA2
 > where both areas are delimited by the unit circle and l is the
 > distance between both differentials of Area (a=paramter).
 > I thought about setting as limits [-1,1],[-1,1] and then when doing
 > gsl_monte_miser_integrate (&G, xl, xu, 3, calls, r, s,&res, &err);
 > Pass in r a random generator that will only generate points inside
 > the circle, but I am not very sure of how legal is this.

Transform the integral (e.g. to polar coordinates) 


use the unit square [-1,1] [-1,1] but make your function return 0
outside the unit circle (slightly inefficient but easy to implement).

Brian Gough

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