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quasimontecarlo is a GSL-compatible quasi-Monte Carlo integrator. It works exactly like the GSL Monte Carlo integration routines, but using a quasirandom number generator instead of a pseudorandom number generator. (Quasirandom number generators produce a predictable sequence that fills an N-dimensional space erratically but almost uniformly.)

Usage is exactly the same as the GSL MC integrator:

  1. create a quasirandom number generator using the GSL routine gsl_qrng_alloc()
  2. create a QMC state object using quasi_monte_alloc()
  3. do an integral using quasi_monte_integrate()
  4. free the state object using quasi_monte_free()

quasimontecarlo uses CMake as its build system. Typically, to install a CMake-based project from source, from the directory containing CMakeLists.txt, run

cmake .
./make install

All files are licensed under the GPL version 2 or any later version at your option.

Development of quasimontecarlo is hosted on the Github project page, which is where you should report bugs or offer suggestions for improvement if you would like to do so. If this code ever gets incorporated into GSL itself, that will change.


A GSL-compatible quasi-Monte Carlo integrator