The vegas algorithm of Lepage is based on importance sampling. It samples points from the probability distribution described by the function |f|, so that the points are concentrated in the regions that make the largest contribution to the integral.
Keywords for this software
References in zbMATH (referenced in 1 article )
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- Adler, Stephen L.: The guide to PAMIR. Theory and use of parameterized adaptive multidimensional integration routines (2013)