(Quasi) Monte Carlo Framework in Python 3
Project description
QuasiMonte Carlo Community Software
QuasiMonte Carlo (QMC) methods are used to approximate multivariate integrals. They have four main components: an integrand, a discrete distribution, summary output data, and stopping criterion. Information about the integrand is obtained as a sequence of values of the function sampled at the datasites of the discrete distribution. The stopping criterion tells the algorithm when the userspecified error tolerance has been satisfied. We are developing a framework that allows collaborators in the QMC community to develop plugandplay modules in an effort to produce more efficient and portable QMC software. Each of the above four components is an abstract class. Abstract classes specify the common properties and methods of all subclasses. The ways in which the four kinds of classes interact with each other are also specified. Subclasses then flesh out different integrands, sampling schemes, and stopping criteria. Besides providing developers a way to link their new ideas with those implemented by the rest of the QMC community, we also aim to provide practitioners with stateoftheart QMC software for their applications.
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Installation
pip install qmcpy
The QMCPy Framework
The central package including the 5 main components as listed below. Each component is implemented as abstract classes with concrete implementations. For example, the lattice and Sobol' sequences are implemented as concrete implementations of the DiscreteDistribution
abstract class. A complete list of concrete implementations and thorough documentation can be found in the QMCPy Read the Docs.
 Stopping Criterion: determines the number of samples necessary to meet an error tolerance.
 Integrand: the function/process whose expected value will be approximated.
 True Measure: the distribution to be integrated over.
 Discrete Distribution: a generator of nodes/sequences that can be either IID (for Monte Carlo) or lowdiscrepancy (for quasiMonte Carlo), that mimic a standard distribution.
 Accumulate Data: stores and updates data used in the integration process.
Quickstart
Note: If the following mathematics is not rendering try using Google Chrome and installing the Mathjax Plugin for GitHub.
We will approximate the expected value of the $d$ dimensional Keister integrand [18]
$$g(X)=\pi^{d/2}\cos(\lVert X \rVert)$$
where $X \sim \mathcal{N}(\boldsymbol{0},\boldsymbol{I}/2)$.
We may choose a Sobol' discrete distribution with a corresponding Sobol' cubature stopping criterion to preform quasiMonte Carlo integration.
import qmcpy as qp
from numpy import pi, cos, sqrt, linalg
d = 2
dnb2 = qp.DigitalNetB2(d)
gauss_sobol = qp.Gaussian(dnb2, mean=0, covariance=1/2)
k = qp.CustomFun(
true_measure = gauss_sobol,
g = lambda x: pi**(d/2)*cos(linalg.norm(x,axis=1)))
qmc_sobol_algorithm = qp.CubQMCSobolG(k, abs_tol=1e3)
solution,data = qmc_sobol_algorithm.integrate()
print(data)
Running the above code outputs
LDTransformData (AccumulateData Object)
solution 1.808
error_bound 4.68e04
n_total 2^(13)
time_integrate 0.008
CubQMCSobolG (StoppingCriterion Object)
abs_tol 0.001
rel_tol 0
n_init 2^(10)
n_max 2^(35)
CustomFun (Integrand Object)
Gaussian (TrueMeasure Object)
mean 0
covariance 2^(1)
decomp_type PCA
Sobol (DiscreteDistribution Object)
d 2^(1)
dvec [0 1]
randomize LMS_DS
graycode 0
entropy 127071403717453177593768120720330942628
spawn_key ()
A more detailed quickstart can be found in our GitHub repo at QMCSoftware/demos/quickstart.ipynb
or in this Google Colab quickstart notebook.
We also highly recommend you take a look at Fred Hickernell's tutorial at the Monte Carlo QuasiMonte Carlo 2020 Conference and the corresponding MCQMC2020 Google Colab notebook.
Community
Please refer to this document for the key roles in the QMCPy community.
Citation
If you find QMCPy helpful in your work, please support us by citing the following work:
Choi, S.C. T., Hickernell, F. J., McCourt, M., Rathinavel, J. & Sorokin, A.
QMCPy: A quasiMonte Carlo Python Library. Working. 2020.
https://qmcsoftware.github.io/QMCSoftware/
BibTex citation available here
Video Tutorial
Please refer to this video for a quick introduction to QMCPy.
For a more detail introduction refer to this video.
References
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[2] Fred J. Hickernell, Lan Jiang, Yuewei Liu, and Art B. Owen, "Guaranteed conservative fixed width confidence intervals via Monte Carlo sampling," Monte Carlo and QuasiMonte Carlo Methods 2012 (J. Dick, F.Y. Kuo, G. W. Peters, and I. H. Sloan, eds.), pp. 105128, SpringerVerlag, Berlin, 2014. DOI: 10.1007/9783642410956_5
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Sponsors

Kamakura Corporation, acquired by SAS Institute Inc. in June 2022
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