integral_approximation2.cpp

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#define _USE_MATH_DEFINES  
#include <cmath>           
#include <cstdint>         
#include <ctime>           
#include <functional>      
#include <iostream>        
#include <random>          
#include <vector>          
 
namespace math {
namespace monte_carlo {
 
using Function = std::function<double(
    double&)>;  
 
std::vector<double> generate_samples(const double& start_point,
                                     const Function& pdf,
                                     const uint32_t& num_samples,
                                     const uint32_t& discard = 100000) {
    std::vector<double> samples;
    samples.reserve(num_samples);
 
    double x_t = start_point;
 
    std::default_random_engine generator;
    std::uniform_real_distribution<double> uniform(0.0, 1.0);
    std::normal_distribution<double> normal(0.0, 1.0);
    generator.seed(time(nullptr));
 
    for (uint32_t t = 0; t < num_samples + discard; ++t) {
        // Generate a new proposal according to some mutation strategy.
        // This is arbitrary and can be swapped.
        double x_dash = normal(generator) + x_t;
        double acceptance_probability = std::min(pdf(x_dash) / pdf(x_t), 1.0);
        double u = uniform(generator);
 
        // Accept "new state" according to the acceptance_probability
        if (u <= acceptance_probability) {
            x_t = x_dash;
        }
 
        if (t >= discard) {
            samples.push_back(x_t);
        }
    }
 
    return samples;
}
 
double integral_monte_carlo(const double& start_point, const Function& function,
                            const Function& pdf,
                            const uint32_t& num_samples = 1000000) {
    double integral = 0.0;
    std::vector<double> samples =
        generate_samples(start_point, pdf, num_samples);
 
    for (double sample : samples) {
        integral += function(sample) / pdf(sample);
    }
 
    return integral / static_cast<double>(samples.size());
}
 
}  // namespace monte_carlo
}  // namespace math
 
static void test() {
    std::cout << "Disclaimer: Because this is a randomized algorithm,"
              << std::endl;
    std::cout
        << "it may happen that singular samples deviate from the true result."
        << std::endl
        << std::endl;
    ;
 
    math::monte_carlo::Function f;
    math::monte_carlo::Function pdf;
    double integral = 0;
    double lower_bound = 0, upper_bound = 0;
 
    /* \int_{-2}^{2} -x^2 + 4 dx */
    f = [&](double& x) { return -x * x + 4.0; };
 
    lower_bound = -2.0;
    upper_bound = 2.0;
    pdf = [&](double& x) {
        if (x >= lower_bound && x <= -1.0) {
            return 0.1;
        }
        if (x <= upper_bound && x >= 1.0) {
            return 0.1;
        }
        if (x > -1.0 && x < 1.0) {
            return 0.4;
        }
        return 0.0;
    };
 
    integral = math::monte_carlo::integral_monte_carlo(
        (upper_bound - lower_bound) / 2.0, f, pdf);
 
    std::cout << "This number should be close to 10.666666: " << integral
              << std::endl;
 
    /* \int_{0}^{1} e^x dx */
    f = [&](double& x) { return std::exp(x); };
 
    lower_bound = 0.0;
    upper_bound = 1.0;
    pdf = [&](double& x) {
        if (x >= lower_bound && x <= 0.2) {
            return 0.1;
        }
        if (x > 0.2 && x <= 0.4) {
            return 0.4;
        }
        if (x > 0.4 && x < upper_bound) {
            return 1.5;
        }
        return 0.0;
    };
 
    integral = math::monte_carlo::integral_monte_carlo(
        (upper_bound - lower_bound) / 2.0, f, pdf);
 
    std::cout << "This number should be close to 1.7182818: " << integral
              << std::endl;
 
    /* \int_{-\infty}^{\infty} sinc(x) dx, sinc(x) = sin(pi * x) / (pi * x)
       This is a difficult integral because of its infinite domain.
       Therefore, it may deviate largely from the expected result.
    */
    f = [&](double& x) { return std::sin(M_PI * x) / (M_PI * x); };
 
    pdf = [&](double& x) {
        return 1.0 / std::sqrt(2.0 * M_PI) * std::exp(-x * x / 2.0);
    };
 
    integral = math::monte_carlo::integral_monte_carlo(0.0, f, pdf, 10000000);
 
    std::cout << "This number should be close to 1.0: " << integral
              << std::endl;
}
 
int main() {
    test();  // run self-test implementations
    return 0;
}