PARNI for importance sampling and density estimation

Abstract

We present an aid for importance sampling in Monte Carlo integration, which is of the general-purpose type in the sense that it in principle deals with any quadratically integrable integrand on a unit hyper-cube of arbitrary dimension. In contrast to most existing systems of this type, it does not ask for the integrand as an input variable, but provides a number of routines which can be plugged into a given Monte Carlo program in order to improve its efficiency "on the fly" while running. Due to the nature of its design, it can also be used for density estimation, i.e., for the analysis of data points coming from an external source.

14 pages

References in corpus (5)

• Weight optimization in multichannel Monte Carlo
• Vegas Revisited: Adaptive Monte Carlo Integration Beyond Factorization
• MINT: a Computer Program for Adaptive Monte Carlo Integration and Generation of Unweighted Distributions
• The Cuba Library
• Loaded Dice in Monte Carlo: importance sampling in phase space integration and probability distributions for discrepancies

Cited by in corpus (9)

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• (MC)**3 -- a Multi-Channel Markov Chain Monte Carlo algorithm for phase-space sampling
• NLO QCD corrections to full off-shell production of $t\bar{t}Z$ including leptonic decays
• Amplitude Surrogates for Multi-Jet Processes
• Monte Carlo Generators for the LHC