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[Help-gsl] quasi-Monte Carlo integration
From: |
David Zaslavsky |
Subject: |
[Help-gsl] quasi-Monte Carlo integration |
Date: |
Sun, 10 Nov 2013 23:09:59 -0500 |
User-agent: |
Mozilla/5.0 (X11; Linux x86_64; rv:24.0) Gecko/20100101 Thunderbird/24.0 |
Hi everyone,
It occurred to me today that I should have sent this out some time ago,
but anyway... unless I'm missing something, I don't believe GSL natively
includes any way to do quasi-Monte Carlo integration, and neither do any
of the listed extensions allow for it. So I wrote my own, at
https://github.com/diazona/quasimontecarlo
It is just a copy of the (plain) GSL Monte Carlo integrator that uses a
quasirandom number generator instead of a pseudorandom number generator.
Perhaps this could also be listed as an extension on the main GSL page?
Of course, any bug reports or comments are welcome.
:) David
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David Zaslavsky <=