Monte Carlo integration for C++

Single-header C++ library for Monte Carlo (and not only) integration with support for multidimensional integrals and optional multithreading for faster computation.

Integration methods

Monte Carlo methods

• integrate_MC - integration in 1D with Vegas optimisation
• integrate_MC_ndim - integration for multidimensional integrals
• integrate_MC_highdim - integration for multidimensional integrals, optimised for large number of dimensions
• integrate_MC_dist - integration with importance sampling

See include/integrate_mc.hpp.

Quadrature methods

• integrate_trapezoid - trapezoidal method with adaptive box partition
• integrate_simpson - Simpson's 1/3 trapezoidal method with adaptive box partition

See include/integrate_quadrature.hpp.

Get started

Build

To configure the project and compile tests run:

./build.sh

Usage

To bundle the library into a single header:

./amalgamate.sh

To use the library in your own project download the generated all-in-one header in mc_integrate_cpp.hpp.

Examples

See the tests/ directory for example usage of all the integration functions.