VEGAS algorithm
From Wikipedia, the free encyclopedia.

The VEGAS algorithm is a method for reducing error in the Monte Carlo simulation by using a known or approximate probability distribution function to concentrate the search in those areas of the graph that make the greatest contribution to the final integral.

References

• G.P. Lepage, A New Algorithm for Adaptive Multidimensional Integration, Journal of Computational Physics 27, 192-203, (1978)
• G.P. Lepage, VEGAS: An Adaptive Multi-dimensional Integration Program, Cornell preprint CLNS 80-447, March 1980

This article is a stub. You can help Wikipedia by fixing it.

The original article can be found at: http://en.wikipedia.org/wiki/VEGAS_algorithm.
All text is available under the terms of the GNU Free Documentation License.