Vegas Revisited: Adaptive Monte Carlo Integration Beyond Factorization

This paper investigates a class of algorithms for numerical integration of a function in d dimensions over a compact domain by Monte Carlo methods. We construct a histogram approximation to the function using a partition of the integration domain into a set of bins specified by some parameters. We then consider two adaptations; the first is to subtract the histogram approximation, whose integral we may easily evaluate explicitly, from the function and integrate the difference...

We present a general sample reweighting scheme and its underlying theory for the integration of an unknown function with low dimensionality. Our method produces better results than standard weighting schemes for common sampling strategies, while avoiding bias. Our main insight is to link the weight derivation to the function reconstruction process during integration. The implementation of our solution is simple and results in an improved convergence behavior. We illustrate it...

We present the first application of a Nested Sampling algorithm to explore the high-dimensional phase space of particle collision events. We describe the adaptation of the algorithm, designed to perform Bayesian inference computations, to the integration of partonic scattering cross sections and the generation of individual events distributed according to the corresponding squared matrix element. As a first concrete example we consider gluon scattering processes into 3-, 4- a...

Importance sampling (IS) is a Monte Carlo technique for the approximation of intractable distributions and integrals with respect to them. The origin of IS dates from the early 1950s. In the last decades, the rise of the Bayesian paradigm and the increase of the available computational resources have propelled the interest in this theoretically sound methodology. In this paper, we first describe the basic IS algorithm and then revisit the recent advances in this methodology. ...

An implementation of the Monte Carlo (MC) phase space generators coupled with adaptive MC integration/simulation program FOAM is presented. The first program is a modification of the classic phase space generator GENBOD interfaced with the adaptive sampling integrator/generator FOAM. On top of this tool the algorithm suitable for generation of the phase space for an reaction with two leading particles is presented (double-peripheral process with central production of particle...

It is well known that Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regression model. A central limit theorem is established for the integration error if the number of control variates tends to infinity. The integration error is scaled by the standard deviation of the error term in the regression model. If the linear span of the control variates is ...

We have developed a Python package ZMCintegral for multi-dimensional Monte Carlo integration on multiple Graphics Processing Units(GPUs). The package employs a stratified sampling and heuristic tree search algorithm. We have built three versions of this package: one with Tensorflow and other two with Numba, and both support general user defined functions with a user-friendly interface. We have demonstrated that Tensorflow and Numba help inexperienced scientific researchers to...

We propose a method to efficiently integrate truncated probability densities. The method uses Markov chain Monte Carlo method to sample from a probability density matching the function being integrated. The required normalisation or equivalently the result is obtained by constructing a function with known integral, through non-parametric kernel density estimation and variational procedure. The method is demonstrated with numerical case studies. Possible enhancements to the me...

The theme of the present paper is numerical integration of $C^r$ functions using randomized methods. We consider variance reduction methods that consist in two steps. First the initial interval is partitioned into subintervals and the integrand is approximated by a piecewise polynomial interpolant that is based on the obtained partition. Then a randomized approximation is applied on the difference of the integrand and its interpolant. The final approximation of the integral i...

In this proceedings we present MadFlow, a new framework for the automation of Monte Carlo (MC) simulation on graphics processing units (GPU) for particle physics processes. In order to automate MC simulation for a generic number of processes, we design a program which provides to the user the possibility to simulate custom processes through the MadGraph5_aMC@NLO framework. The pipeline includes a first stage where the analytic expressions for matrix elements and phase space a...