Vegas revisited: Adaptive Monte Carlo integration beyond factorization

1998/06/22 by T. Ohl, Thorsten Ohl · 147 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Algorithm #Applied mathematics #Computer science #Factorization #Hybrid Monte Carlo #Las vegas #Markov chain Monte Carlo #Mathematical Approximation and Integration #Mathematical optimization #Mathematics #Monte Carlo integration #Monte Carlo method #Numerical Methods and Algorithms #Physics #Quasi-Monte Carlo method #Rejection sampling #Statistical physics #Statistics #Stochastic processes and financial applications #hep-ph #physics.comp-ph

paper · pdf · doi:10.1016/s0010-4655(99)00209-x

published in Computer Physics Communications 120(1), 13-19 (Elsevier BV) · 12 pages, LaTeX (using amsmath.sty)

arxiv created 1998/06/22 · openalex publication_date 1999/07/01 · arxiv updated 2010/11/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

We present a new adaptive Monte Carlo integration algorithm for ill-behaved integrands with non-factorizable singularities. The algorithm combines Vegas with multi channel sampling and performs significantly better than Vegas for a large class of integrals appearing in physics.

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