GSLMCIntegrator.h

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// @(#)root/mathmore:$Id$
// Author: Magdalena Slawinska 08/2007
 
/**********************************************************************
 *                                                                    *
 * Copyright (c) 2007 ROOT Foundation,  CERN/PH-SFT                   *
 *                                                                    *
 * This library is free software; you can redistribute it and/or      *
 * modify it under the terms of the GNU General Public License        *
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 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU   *
 * General Public License for more details.                           *
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 **********************************************************************/
//
// Header file for class GSLMCIntegrator
//
//
 
#ifndef ROOT_Math_GSLMCIntegrator
#define ROOT_Math_GSLMCIntegrator
 
#include "Math/MCIntegrationTypes.h"
 
#include "Math/IFunctionfwd.h"
 
#include "Math/IFunction.h"
 
 
#include "Math/MCIntegrationTypes.h"
 
 
#include "Math/MCParameters.h"
 
#include "Math/VirtualIntegrator.h"
 
#include <iostream>
 
 
namespace ROOT {
namespace Math {
 
 
 
   class GSLMCIntegrationWorkspace;
   class GSLMonteFunctionWrapper;
   class GSLRandomEngine;
   class GSLRngWrapper;
 
 
   /**
      @defgroup MCIntegration Numerical Monte Carlo Integration Classes
      Classes implementing method for Monte Carlo Integration.
      @ingroup Integration
 
    Class for performing numerical integration of a multidimensional function.
    It uses the numerical integration algorithms of GSL, which reimplements the
    algorithms used in the QUADPACK, a numerical integration package written in Fortran.
 
    Plain MC, MISER and VEGAS integration algorithms are supported for integration over finite (hypercubic) ranges.
 
    <A HREF="http://www.gnu.org/software/gsl/manual/gsl-ref_16.html#SEC248">GSL Manual</A>.
 
    It implements also the interface ROOT::Math::VirtualIntegratorMultiDim so it can be
    instantiate using the plugin manager (plugin name is "GSLMCIntegrator")
   */
 
 
   class GSLMCIntegrator : public VirtualIntegratorMultiDim {
 
   public:
 
      typedef MCIntegration::Type Type;
 
      // constructors
 
 
//       /**
//           constructor of GSL MCIntegrator using all the default options
//       */
//       GSLMCIntegrator( );
 
 
       /** constructor of GSL MCIntegrator. VEGAS MC is set as default integration type
 
      @param type type of integration. The possible types are defined in the MCIntegration::Type enumeration
                                        Default is VEGAS
      @param absTol desired absolute Error  (this parameter is actually not used and it can be ignored. The tolerance is fixed by the number of given calls)
      @param relTol desired relative Error  (this parameter is actually not used and it can be ignored. The tolerance is fixed by the number of given calls)
      @param calls maximum number of function calls
 
      NOTE: When the default values are used , the options are taken from teh static method of ROOT::Math::IntegratorMultiDimOptions
      */
      explicit
      GSLMCIntegrator(MCIntegration::Type type = MCIntegration::kVEGAS, double absTol = -1, double relTol = -1, unsigned int calls = 0 );
 
      /** constructor of GSL MCIntegrator. VEGAS MC is set as default integration type
 
      @param type type of integration using a char * (required by plug-in manager)
      @param absTol desired absolute Error
      @param relTol desired relative Error
      @param calls maximum number of function calls
      */
      GSLMCIntegrator(const char *  type, double absTol, double relTol, unsigned int calls);
 
 
      /**
          destructor
      */
      virtual ~GSLMCIntegrator();
 
      // disable copy ctrs
 
private:
 
      GSLMCIntegrator(const GSLMCIntegrator &);
 
      GSLMCIntegrator & operator=(const GSLMCIntegrator &);
 
public:
 
 
         // template methods for generic functors
 
         /**
         method to set the a generic integration function
 
          @param f integration function. The function type must implement the assigment operator, <em>  double  operator() (  double  x ) </em>
 
          */
 
 
      void SetFunction(const IMultiGenFunction &f);
 
 
      typedef double ( * GSLMonteFuncPointer ) ( double *, size_t, void *);
 
      void SetFunction( GSLMonteFuncPointer f, unsigned int dim, void * p = 0 );
 
      // methods using GSLMonteFuncPointer
 
      /**
         evaluate the Integral of a function f over the defined hypercube (a,b)
       @param f integration function. The function type must implement the mathlib::IGenFunction interface
       @param a lower value of the integration interval
       @param b upper value of the integration interval
       */
 
      double Integral(const GSLMonteFuncPointer & f, unsigned int dim, double* a, double* b, void * p = 0);
 
 
      /**
         evaluate the integral using the previously defined function
       */
      double Integral(const double* a, const double* b);
 
 
      // to be added later
      //double Integral(const GSLMonteFuncPointer & f);
 
     //double Integral(GSLMonteFuncPointer f, void * p, double* a, double* b);
 
      /**
         return the type of the integration used
       */
      //MCIntegration::Type MCType() const;
 
      /**
         return  the Result of the last Integral calculation
       */
      double Result() const;
 
      /**
         return the estimate of the absolute Error of the last Integral calculation
       */
      double Error() const;
 
      /**
         return the Error Status of the last Integral calculation
       */
      int Status() const;
 
 
      /**
          return number of function evaluations in calculating the integral
          (This is an fixed by the user)
      */
      int NEval() const { return fCalls; }
 
 
      // setter for control Parameters  (getters are not needed so far )
 
      /**
         set the desired relative Error
       */
      void SetRelTolerance(double relTolerance);
 
 
      /**
         set the desired absolute Error
       */
      void SetAbsTolerance(double absTolerance);
 
      /**
         set the integration options
       */
      void SetOptions(const ROOT::Math::IntegratorMultiDimOptions & opt);
 
 
      /**
       set random number generator
      */
      void SetGenerator(GSLRandomEngine & r);
 
      /**
       set integration method
      */
      void SetType(MCIntegration::Type type);
 
      /**
       set integration method using a name instead of an enumeration
      */
      void SetTypeName(const char * typeName);
 
 
      /**
       set integration mode for VEGAS method
         The possible MODE are :
         MCIntegration::kIMPORTANCE (default) : VEGAS will use importance sampling
         MCIntegration::kSTRATIFIED           : VEGAS will use stratified sampling  if certain condition are satisfied
         MCIntegration::kIMPORTANCE_ONLY      : VEGAS will always use importance smapling
      */
 
      void SetMode(MCIntegration::Mode mode);
 
      /**
       set default parameters for VEGAS method
      */
      void SetParameters(const VegasParameters &p);
 
 
      /**
       set default parameters for MISER method
      */
      void SetParameters(const MiserParameters &p);
 
      /**
       set parameters for PLAIN method
      */
      //void SetPParameters(const PlainParameters &p);
 
      /**
       returns the error sigma from the last iteration of the Vegas algorithm
      */
      double Sigma();
 
      /**
       returns chi-squared per degree of freedom for the estimate of the integral in the Vegas algorithm
      */
      double ChiSqr();
 
      /**
          return the type
          (need to be called GetType to avois a conflict with typedef)
      */
      MCIntegration::Type GetType() const { return fType; }
 
      /**
          return the name
      */
      const char * GetTypeName() const;
 
      /**
         get the option used for the integration
      */
      ROOT::Math::IntegratorMultiDimOptions Options() const;
 
      /**
         get the specific options (for Vegas or Miser)
         in term of string-  name
      */
      ROOT::Math::IOptions * ExtraOptions() const;
 
 
   protected:
 
      // internal method to check validity of GSL function pointer
      bool CheckFunction();
 
      // set internally the type of integration method
      void DoInitialize( );
 
 
   private:
      //type of intergation method
      MCIntegration::Type fType;
 
      GSLRngWrapper * fRng;
 
      unsigned int fDim;
      unsigned int fCalls;
      double fAbsTol;
      double fRelTol;
 
      // cache Error, Result and Status of integration
 
      double fResult;
      double fError;
      int fStatus;
      bool fExtGen;   // flag indicating if class uses an external generator provided by the user
 
 
      GSLMCIntegrationWorkspace * fWorkspace;
      GSLMonteFunctionWrapper * fFunction;
 
   };
 
 
 
 
 
} // namespace Math
} // namespace ROOT
 
 
#endif /* ROOT_Math_GSLMCIntegrator */