mcint

Monte Carlo integrator over arbitrary n-dimensional domains

Description

A real-valued integral is calculated in n-dimensional space by averaging the value of a function over a large number of randomly selected points within the hypervolume to be integrated. Finite or infinite integral bounds are permitted (ie. ordinary and improper integrals are supported), and multiple functions can be integrated simultaneously over the same domain. The hypervolume can be of arbitrary shape, as long as it can be expressed as a series of logical conditions on the coordinates.

The integrator can be used for something as simple as a usual 1-D finite integral, or for something as complicated as a n-D improper integral of a function with singularities over an oddly shaped domain.

Files:
mcint.m -- the integrator
learnmcint.m -- a library of examples which will show you how to use the integrator
jacobian.m -- an optional file which will calculate the jacobian of coordinate transformations for you

• MATLAB release: MATLAB 6.5 (R13)

[Yongsheng Gui]

interesting!

[D. AbdulRahman]

Excellent program. Quite general and works well.

[Vikram Chandrasekhar]

Excellent software, quite impressive. I abandoned the matlab's quad, dblquad and triplequad routines for yours.

I found one bug in your code. In the routine that evaluates the conditions placed on the function (h.cond), your code does not allow the users to pass in the parameter structure (par.mcint.scale). Easily fixable though !

[Guillaume Chabot-Couture]

Great integrator, Matlab should include it in its distribution!

[g l]