Package org.drip.numerical.rdintegration

Class UniformSamplingIntegrator

java.lang.Object

org.drip.numerical.rdintegration.MonteCarloIntegrator

org.drip.numerical.rdintegration.UniformSamplingIntegrator

Direct Known Subclasses:

RecursiveStratifiedSamplingIntegrator

public class UniformSamplingIntegrator
extends MonteCarloIntegrator

UniformSamplingIntegrator implements Uniformly Sampled Monte-Carlo Integration of R^d To R¹ Objective Function. The References are:

• Kroese, D. P., T. Taimre, and Z. I. Botev (2011): Handbook of Monte Carlo Methods John Wiley and Sons Hoboken NJ
• MacKay, D. (2003): Information Theory, Inference, and Learning Algorithms Cambridge University Press New York NY
• Newman, M. E. J., and G. T. Barkema (1999): Monte Carlo Methods in Statistical Physics Oxford University Press Oxford UK
• Press, W. H., S. A. Teukolsky, W. T. Vetterling, B. P. Flannery (2007): Numerical Recipes: The Art of Scientific Computing 3^rd Edition Cambridge University Press New York NY
• Wikipedia (2025): Monte Carlo Integration https://en.wikipedia.org/wiki/Monte_Carlo_integration

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities
• Package = R^d to R¹ Numerical Integration Schemes

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
UniformSamplingIntegrator(QuadratureSetting integratorSetting, int samplingPointCount, boolean diagnosticsOn)	UniformSamplingIntegrator Constructor

Method Summary

Modifier and Type	Method	Description
double[]	integrandSampleArray()	Generate the Sampling Points using Uniform Sampling needed for computing the Quadrature
MonteCarloRun	quadratureRun()	Compute the RdToR1MonteCarloRun Uniform Sampling Run

Methods inherited from class org.drip.numerical.rdintegration.MonteCarloIntegrator

diagnosticsOn, integratorSetting, samplingPointCount

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

UniformSamplingIntegrator

public UniformSamplingIntegrator(QuadratureSetting integratorSetting,
int samplingPointCount,
boolean diagnosticsOn)
                          throws java.lang.Exception

UniformSamplingIntegrator Constructor

Parameters:

integratorSetting - Underlying RdToR1IntegratorSetting Instance

samplingPointCount - Sampling Points Count

diagnosticsOn - TRUE - Diagnostics are turned on

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

integrandSampleArray

public double[] integrandSampleArray()

Generate the Sampling Points using Uniform Sampling needed for computing the Quadrature

Returns:

Sampling Points needed for computing the Quadrature

quadratureRun

public MonteCarloRun quadratureRun()

Compute the RdToR1MonteCarloRun Uniform Sampling Run

Specified by:

quadratureRun in class MonteCarloIntegrator

Returns:

RdToR1MonteCarloRun Uniform Sampling Run