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[Help-gsl] Computing multiple integrals with GSL

From: Tommy Nordgren
Subject: [Help-gsl] Computing multiple integrals with GSL
Date: Sat, 29 Sep 2007 04:23:18 +0200

I need to compute a complicated multiple integral for a large set of different parameters. The integral is over infinite space. I can solve the problem by using generalised (6 dimensions) Spherical Coordinates, which reduces the number of integration variables that go to infinity to the radius. Now I have a problem that can be integrated in five dimensions with Vegas, where the function integrated
by Vegas is computed as a Fourier Integral along a radius vector.
Since Vegas is a Monte Carlo method, it is certainly not profitable to compute the Fourier Integral to too high accuracy. I need to estimate, using a rough initial Vegas estimate of the integral, what absolute and relative accuracy
I need to use in computing the Fourier Integral.
In particular I need to estimate these as a function of the Accuracy I want in the final Vegas estimate of the integral.
Any Ideas?

What is a woman that you forsake her, and the hearth fire and the home acre, to go with the old grey Widow Maker. --Kipling, harp song of the Dane women
Tommy Nordgren

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