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viltrum - Integration range definition

Defining integration ranges in viltrum for numerical integration methods is relatively simple, with several options making it more flexible. However, their definition affects the whole integration because they not only define the range but the data type (float or double) that will be used to explored the integrand as well as the dimensionality of the problem. An integration range is defined as follows:their integration with any numerical method is simple.

An integration range is represented by the class viltrum::Range that can be constructed as follows:

viltrum::Range<F,N> integration_range(const std::array<F,N>& a, const std::array<F,N>& b)

where:

  • N is the number of dimensions explored by the integration method, and should be the same number of dimensions than the function that defines the integrand. It should be the same number than the dimensions of the integration range that is defined when integrating.
  • F is a floating point value that explores the function (commonly float or double), and again must match the integrand's parameter.
  • a and b mark, respectively, the lower and upper bound of the integration range per dimension.

For simplicity reasons, several helper functions have been defined to construct the integration range. The following examples will be using the following integrand:

class Gaussian {
public:
    template<typename real, std::size_t NDIM>
    real operator()(const std::array<real,NDIM>& x) const {
        real sum(0);
        for (real xi : x) sum += xi*xi;
        return std::exp(-0.5*sum)/std::sqrt(2.0*M_PI);
    }
};

Note that the integrand above is defined for any number of dimensions NDIM as well as for any floating point data type real per dimension, so the integration range will define how this function is explored.

The simplest helper function viltrum::range requires two std::arrays as parameters, from which the dimensionality and the real type for viltrum::Range are deduced. The following example uses this formulation for integration ranges of 1, 2 and 3 dimensions:

int main(int argc, char** argv) {
    unsigned long samples = 1024;
    auto method = viltrum::integrator_monte_carlo_uniform(samples);
    
    std::array<double,1> min1d{0.0}; std::array<double,1> max1d{1.0};
    std::cout<<"1D = "<<method.integrate(Gaussian(),viltrum::range(min1d,max1d))<<std::endl;
    std::array<double,2> min2d{0.0,0.0}; std::array<double,2> max2d{1.0,1.0};
    std::cout<<"2D = "<<method.integrate(Gaussian(),viltrum::range(min2d,max2d))<<std::endl;
    std::array<double,3> min3d{0.0,0.0,0.0}; std::array<double,3> max3d{1.0,1.0,1.0};
    std::cout<<"3D = "<<method.integrate(Gaussian(),viltrum::range(min3d,max3d))<<std::endl;
}

Defining first the std::arrays and then the integration range is quite boilerplate-y, so the viltrum::range function can be called with the per-dimesion limits directly (first the real numbers for the lower limits and then the real numbers for the upper limits) as illustrated in the following example:

int main(int argc, char** argv) {
    unsigned long samples = 1024;
    auto method = viltrum::integrator_monte_carlo_uniform(samples);
    
    std::cout<<"1D = "<<method.integrate(Gaussian(),viltrum::range(0.0, 1.0))<<std::endl;
    std::cout<<"2D = "<<method.integrate(Gaussian(),viltrum::range(0.0,0.0, 1.0,1.0))<<std::endl;
    std::cout<<"3D = "<<method.integrate(Gaussian(),viltrum::range(0.0,0.0,0.0, 1.0,1.0,1.0))<<std::endl;
}

Obviously, the number of floating point parameters must be even.

If the integration range is the same for all the dimensions, then it is possible to use the helper function viltrum::range_all<NDIM>(a,b), where NDIM is the number of dimensions and a and b are floating point numbers that mark the lower and upper limits of the integration range for all the dimensions. This is illustrated in the following:

int main(int argc, char** argv) {
    unsigned long samples = 1024;
    auto method = viltrum::integrator_monte_carlo_uniform(samples);
    
    std::cout<<"1D = "<<method.integrate(Gaussian(),viltrum::range_all<1>(0.0,1.0))<<std::endl;
    std::cout<<"2D = "<<method.integrate(Gaussian(),viltrum::range_all<2>(0.0,1.0))<<std::endl;
    std::cout<<"3D = "<<method.integrate(Gaussian(),viltrum::range_all<3>(0.0,1.0))<<std::endl;
}

Last helper function is viltrum::range_primary<NDIM,real>() which generates a NDIM-dimensional range of real floating point type between between 0 and 1 for all dimensions. If omitted, the real parameter defaults to float. It can be used as follows:

int main(int argc, char** argv) {
    unsigned long samples = 1024;
    auto method = viltrum::integrator_monte_carlo_uniform(samples);
    
    std::cout<<"1D = "<<method.integrate(Gaussian(),viltrum::range_primary<1>())<<std::endl;
    std::cout<<"2D = "<<method.integrate(Gaussian(),viltrum::range_primary<2>())<<std::endl;
    std::cout<<"3D = "<<method.integrate(Gaussian(),viltrum::range_primary<3>())<<std::endl;
}

The last option to generate ranges is to use the operator |, which concatenates two ranges, returning a higher dimensionality integration range, used as follows:

int main(int argc, char** argv) {
    unsigned long samples = 1024;
    auto method = viltrum::integrator_monte_carlo_uniform(samples);
    
    std::cout<<"1D = "<<method.integrate(Gaussian(),
            viltrum::range(0.0,1.0))<<std::endl;
    std::cout<<"2D = "<<method.integrate(Gaussian(),
            viltrum::range(0.0,1.0) | viltrum::range(0.0,1.0))<<std::endl;
    std::cout<<"3D = "<<method.integrate(Gaussian(),
            viltrum::range(0.0,1.0) | viltrum::range(0.0,1.0) | viltrum::range(0.0,1.0))<<std::endl;
}

The code illustrated in this page can be tested and compiled in a source code example