Shifted Sobol points and multigrid Monte Carlo simulation

Multidimensional integrals arise in many problems of physics. For example, moments of the distribution function in the problems of transport of various particles (photons, neutrons, etc.) are 6-dimensional integrals. When calculating the coefficients of electrical conductivity and thermal conductivity, scattering integrals arise, the dimension of which is equal to 12. There are also problems with a significantly large number of variables. The Monte Carlo method is the most effective method for calculating integrals of such a high multiplicity. However, the efficiency of this method strongly depends on the choice of a sequence that simulates a set of random numbers. A large number of pseudo-random number generators are described in the literature. Their quality is checked using a battery of formal tests. However, the simplest visual analysis shows that passing such tests does not guarantee good uniformity of these sequences. The magic Sobol points are the most effective for calculating multidimensional integrals. In this paper, an improvement of these sequences is proposed: the shifted magic Sobol points that provide better uniformity of points distribution in a multidimensional cube. This significantly increases the cubature accuracy. A significant difficulty of the Monte Carlo method is a posteriori confirmation of the actual accuracy. In this paper, we propose a multigrid algorithm that allows one to find the grid value of the integral simultaneously with a statistically reliable accuracy estimate. Previously, such estimates were unknown. Calculations of representative test integrals with a high actual dimension up to 16 are carried out. The multidimensional Weierstrass function, which has no derivative at any point, is chosen as the integrand function. These calculations convincingly show the advantages of the proposed methods.

Reducing a Class of Two-Dimensional Integrals to One-Dimension with an Application to Gaussian Transforms

Quantum theory is awash in multidimensional integrals that contain exponentials in the integration variables, their inverses, and inverse polynomials of those variables. The present paper introduces a means to reduce pairs of such integrals to one dimension when the integrand contains powers multiplied by an arbitrary function of xy/(x+y) multiplying various combinations of exponentials. In some cases these exponentials arise directly from transition-amplitudes involving products of plane waves, hydrogenic wave functions, and Yukawa and/or Coulomb potentials. In other cases these exponentials arise from Gaussian transforms of such functions.