/kakuhen

Adaptive multidimensional Monte Carlo integration with correlations.

Apache License 2.0Apache-2.0

kakuhen1

A multi-dimensional Monte Carlo integrator based on importance sampling reminiscent to the VEGAS algorithm but retaining two-point correlation information between the dimensions.

Footnotes

  1. kakuhen (確変), short for kakuritsu hendō (確率変動), means probability change and describes a system within the Japanese Pachinko (パチンコ) gambling game to enter "fever mode". ↩