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Better comments, #include guards.

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This commit is contained in:
Nick Thompson
2018-01-12 13:14:34 -06:00
parent 358d9d3496
commit ec3412ac28
1 changed files with 8 additions and 6 deletions
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14
include/boost/math/quadrature/naive_monte_carlo.hpp
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@@ -4,8 +4,8 @@
* Boost Software License, Version 1.0. (See accompanying file
* LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
*/
#ifndef NAIVE_MONTE_CARLO_HPP
#define NAIVE_MONTE_CARLO_HPP
#ifndef BOOST_MATH_QUADRATURE_NAIVE_MONTE_CARLO_HPP
#define BOOST_MATH_QUADRATURE_NAIVE_MONTE_CARLO_HPP
#include <algorithm>
#include <vector>
#include <atomic>
@@ -85,6 +85,8 @@ public:
Real coeff = m_volume;
for (size_t i = 0; i < x.size(); ++i)
{
// Variable transformation are listed at:
// https://en.wikipedia.org/wiki/Numerical_integration
if (m_limit_types[i] == detail::limit_classification::FINITE)
{
x[i] = m_lbs[i] + x[i]*m_dxs[i];
@@ -251,12 +253,10 @@ private:
} while (this->current_error_estimate() > m_error_goal);
// Error bound met; signal the threads:
m_done = true;
// Wait for each one to finish:
std::for_each(threads.begin(), threads.end(),
std::mem_fn(&std::thread::join));
if (m_exception)
{
// How do we rethrow an exception with policies?
std::rethrow_exception(m_exception);
}
// Incorporate their work into the final estimate:
@@ -294,8 +294,7 @@ private:
// {
// std::cout << "OMG! we have no entropy.\n";
// }
auto seed = rd();
std::mt19937_64 gen(seed);
std::mt19937_64 gen(rd());
Real inv_denom = (Real) 1/( (Real) gen.max() + (Real) 2);
Real M1 = m_thread_averages[thread_index];
Real S = m_thread_Ss[thread_index];
@@ -305,6 +304,8 @@ private:
while (!m_done)
{
int j = 0;
// If we don't have a certain number of calls before an update, we can easily terminate prematurely
// because the variance estimate is way too low.
int magic_calls_before_update = 2048;
while (j++ < magic_calls_before_update)
{
@@ -357,5 +358,6 @@ private:
std::chrono::time_point<std::chrono::system_clock> m_start;
std::exception_ptr m_exception;
};
}}}
#endif