On Fri, 6 Jun 2008, ZT2008 wrote:
I need to compute a high dimensional integral. Currently I'm using the function adapt in R package adapt. But this method is kind of slow to me. I'm wondering if there are other solutions. Thanks.
What does 'high' mean? Numerical quadrature will be slow in more than a handful of dimensions.
What to recommend depends on what you know about the function -- Evans & Swartz (2000) 'Approximating Integrals via Monte Carlo and Deterministic Methods' is a good reference on integration for statisticians.
But accurate evaluation of an integral in more than 2 or 3 dimensions is potentially a very computer-intensive task -- people spend days of CPU time using e.g. MCMC to do just that.
Zhongwen
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