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`Cuba.jl`

is a library for multidimensional numerical integration with different
algorithms in Julia.

This is just a Julia wrapper around the C
Cuba library, version 4.2, by **Thomas Hahn**.
All the credits goes to him for the underlying functions, blame me for any
problem with the Julia interface. Feel free to report bugs and make suggestions
at https://github.com/giordano/Cuba.jl/issues.

All algorithms provided by Cuba library are supported in `Cuba.jl`

:

`vegas`

(type: Monte Carlo; variance reduction with importance sampling)`suave`

(type: Monte Carlo; variance reduction with globally adaptive subdivision + importance sampling)`divonne`

(type: Monte Carlo or deterministic; variance reduction with stratified sampling, aided by methods from numerical optimization)`cuhre`

(type: deterministic; variance reduction with globally adaptive subdivision)

Integration is performed on the n-dimensional unit hypercube [0, 1]^n. For more
details on the algorithms see the manual included in Cuba library and available
in `deps/usr/share/cuba.pdf`

after successful installation of `Cuba.jl`

.

`Cuba.jl`

is available for GNU/Linux, FreeBSD, Mac OS, and Windows (`i686`

and
`x86_64`

architectures).

The latest version of `Cuba.jl`

is available for Julia 1.0 and later versions,
and can be installed with Julia built-in package
manager. In a Julia session, after
entering the package manager mode with `]`

, run the command

```
pkg> update
pkg> add Cuba
```

By default, on all systems a pre-built version of the Cuba library will be
installed. On UNIX systems, you can optionally compile Cuba locally by setting
the `JULIA_CUBA_BUILD_SOURCE`

environment variable to `"true"`

:

```
julia> ENV["JULIA_CUBA_BUILD_SOURCE"] = "true"
"true"
pkg> build Cuba
```

Older versions are also available for Julia 0.4-0.7.

After installing the package, run

```
using Cuba
```

or put this command into your Julia script.

`Cuba.jl`

provides the following functions to integrate:

```
vegas(integrand, ndim, ncomp[; keywords...])
suave(integrand, ndim, ncomp[; keywords...])
divonne(integrand, ndim, ncomp[; keywords...])
cuhre(integrand, ndim, ncomp[; keywords...])
```

These functions wrap the 64-bit integers functions provided by the Cuba library.

The only mandatory argument is:

`function`

: the name of the function to be integrated

Optional positional arguments are:

`ndim`

: the number of dimensions of the integration domain. Defaults to 1 in`vegas`

and`suave`

, to 2 in`divonne`

and`cuhre`

. Note:`ndim`

must be at least 2 with the latest two methods.`ncomp`

: the number of components of the integrand. Defaults to 1

`ndim`

and `ncomp`

arguments must appear in this order, so you cannot omit
`ndim`

but not `ncomp`

. `integrand`

should be a function `integrand(x, f)`

taking two arguments:

- the input vector
`x`

of length`ndim`

- the output vector
`f`

of length`ncomp`

, used to set the value of each component of the integrand at point`x`

Also
anonymous functions
are allowed as `integrand`

. For those familiar with
`Cubature.jl`

package, this is the
same syntax used for integrating vector-valued functions.

For example, the integral

```
∫_0^1 cos(x) dx = sin(1) = 0.8414709848078965
```

can be computed with one of the following commands

```
julia> vegas((x, f) -> f[1] = cos(x[1]))
Component:
1: 0.8414910005259609 ± 5.2708169787733e-5 (prob.: 0.028607201257039333)
Integrand evaluations: 13500
Number of subregions: 0
Note: The desired accuracy was reached
julia> suave((x, f) -> f[1] = cos(x[1]))
Component:
1: 0.8411523690658836 ± 8.357995611133613e-5 (prob.: 1.0)
Integrand evaluations: 22000
Number of subregions: 22
Note: The desired accuracy was reached
julia> divonne((x, f) -> f[1] = cos(x[1]))
Component:
1: 0.841468071955942 ± 5.3955070531551656e-5 (prob.: 0.0)
Integrand evaluations: 1686
Number of subregions: 14
Note: The desired accuracy was reached
julia> cuhre((x, f) -> f[1] = cos(x[1]))
Component:
1: 0.8414709848078966 ± 2.2204460420128823e-16 (prob.: 3.443539937576958e-5)
Integrand evaluations: 195
Number of subregions: 2
Note: The desired accuracy was reached
```

The integrating functions `vegas`

, `suave`

, `divonne`

, and `cuhre`

return an
`Integral`

object whose fields are

```
integral :: Vector{Float64}
error :: Vector{Float64}
probl :: Vector{Float64}
neval :: Int64
fail :: Int32
nregions :: Int32
```

The first three fields are vectors with length `ncomp`

, the last three ones are
scalars. The `Integral`

object can also be iterated over like a tuple. In
particular, if you assign the output of integration functions to the variable
named `result`

, you can access the value of the `i`

-th component of the integral
with `result[1][i]`

or `result.integral[i]`

and the associated error with
`result[2][i]`

or `result.error[i]`

. The details of other quantities can be
found in Cuba manual.

All other arguments listed in Cuba documentation can be passed as optional keywords.

A more detailed manual of `Cuba.jl`

, with many complete examples, is available
at https://giordano.github.io/Cuba.jl/stable/.

There are other Julia packages for multidimenensional numerical integration:

The Cuba.jl package is licensed under the GNU Lesser General Public License, the same as Cuba library. The original author is Mosè Giordano. If you use this library for your work, please credit Thomas Hahn (citable papers about Cuba library: http://adsabs.harvard.edu/abs/2005CoPhC.168...78H and http://adsabs.harvard.edu/abs/2015JPhCS.608a2066H).

04/03/2016

3 months ago

176 commits