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[Help-gsl] turn MC integrator into sampler?

From: Shao-Feng Ge
Subject: [Help-gsl] turn MC integrator into sampler?
Date: Tue, 21 Jan 2014 15:07:49 +0900 (JST)
User-agent: Alpine 2.11 (LFD 23 2013-08-11)


Is there any possibility of turning the GSL monte carlo integrator, such as Vegas and Miser, into a random sampler?

What I am naively thinking is, during monte carlo integration random points are generated and the function values are calculated at these points. The result of the integration is a weighted sum of these function values. By binning these function values into a histogram, the integration code can serve as integrator and sampler simultaneously. This can be a very useful tool.

The only thing that I'm not sure is which parameter in the gsl code carry the info of each sampled point's weight and how to deliver it to the user-defined function, such that each time the user-defined function is called, we can register the point and the weight associated with it.

See if your guys have any good idea.


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