Re: [Help-gsl] Re: Question regarding integration.

[Michael]

Is MC slower?
Can MC handle difficult integrands?


On 7/30/07, Rodney Sparapani <address@hidden> wrote:
> Jigal Aharonovich wrote:
> > Hi there,
> >
> > I need to integrate a vector function of a scalar variable, namely, a
> > set of functions
> > parameterized with the same parameter.
> > All function share a common factor, which is also a function.
> >
> > I see the following options:
> >
> > 1. Regardless of the common factor, integrate them as separate functions,
> >    with the quadpack set of the integrators.
> >    (well, choosing one of the integrators, that is...)
> >    This pays the penalty of recalculating the factor function for all
> > integrator instances.
> >
> > 2. Integrate them as an ODE set, where there are no mutual dependencies
> > between them.
> >    However, in each ODE step, the factor function is computed only once.
> >
> > Questions:
> > 1. What would you recommend?
> > 2. Pardon my ignorance, but are these methods equivalent, in the
> > numerical sense?
> >
> > Kinds regards,
> > Jigal.
>
> Hi Jigal:
>
> Hard to say without knowing what the functions look like.  But, if you
> can write these as finite expectation integrals, then monte carlo
> integration would allow for simultaneous sampling and estimation.
> However, that does not appear to
> be either 1. or 2. so you may have already eliminated that possibility.
>
> Rodney
>
>
>
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