https://github.com/pietrozanotta/montpy

Python library implementing Monte Carlo and Quasi-Monte Carlo methods for integral evaluation
https://github.com/pietrozanotta/montpy

Last synced: 1 day ago
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Python library implementing Monte Carlo and Quasi-Monte Carlo methods for integral evaluation

• Host: GitHub
• URL: https://github.com/pietrozanotta/montpy
• Owner: PietroZanotta
• License: mit
• Created: 2024-04-07T11:00:48.000Z (9 months ago)
• Default Branch: main
• Last Pushed: 2024-05-03T19:43:55.000Z (8 months ago)
• Last Synced: 2024-11-21T20:03:07.719Z (about 1 month ago)
• Language: Python
• Homepage: https://pypi.org/project/montpy/
• Size: 41 KB
• Stars: 1
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# Montpy: Montecarlo and Quasi-Montecarlo Integration Library



    

        

    



This Python library provides implementations of Monte Carlo and Quasi-Monte Carlo methods for evaluating integrals. Monte Carlo methods are stochastic techniques based on random sampling, while Quasi-Monte Carlo methods use low-discrepancy sequences for sampling. These methods are particularly useful for high-dimensional integrals where other numerical methods may struggle.

## Installation

You can install the library via pip:

```{bash}

pip install montpy

```

## Usage

```{Python}

from montpy.mc import MonteCarloSolver, ImportanceSampler

from montpy.qmc import QuasiMonteCarloSolver

# Define the function to integrate

def f(samples):

    x, y = samples.T

    return x**2 + y**2

    

# Define the domain (multivariate case)

domain = [(0, 1), (0, 1)]

# Create the Monte Carlo solver (uniform distribution)

solver_mc = ImportanceSampler(f, domain)

integral_mc = solver_mc.integrate(num_samples=1000)

print("Estimated integral with Monte Carlo:", integral_mc)

# Define the function to integrate

def g(x, y):

    return x*y

    

# Create the Quasi-Monte Carlo solver

solver_qmc = QuasiMonteCarloSolver(g, domain)

# Perform integration using Sobol sequence

integral_sobol = solver_qmc.integrate_sobol(num_samples=1000)

print("Estimated integral with Sobol sequence:", integral_sobol)

```

## Contributing

Contributions are welcome! If you find any bugs or have suggestions for improvements, please open an issue or submit a pull request on GitHub.

## License

This library is licensed under the MIT License. See the [LICENSE](https://github.com/ScipioneParmigiano/montpy/blob/main/LICENSE) file for details.