vsmc::ISIntegrate Class Reference

Compute the importance sampling integration of multivariate variable. More...

#include <vsmc/integrate/is_integrate.hpp>

Public Types
typedef std::size_t	size_type

Public Member Functions
void	operator() (size_type N, size_type dim, const double *hX, const double *W, double *Eh) const
	Compute the importance sampling integration. More...

Detailed Description

Compute the importance sampling integration of multivariate variable.

Definition at line 42 of file is_integrate.hpp.

Member Typedef Documentation

typedef std::size_t vsmc::ISIntegrate::size_type

Definition at line 46 of file is_integrate.hpp.

Member Function Documentation

void vsmc::ISIntegrate::operator() ( size_type  N, size_type  dim, const double *  hX, const double *  W, double *  Eh  ) const

inline

Compute the importance sampling integration.

Parameters

N	Number of particles
dim	Number of variables
hX	An N by dim row major matrix, each row i contains \(h(X_i) = (h_1(X_i),\dots,h_d(X_i))\)
W	Normalized weights, an N-vector
Eh	The importance sampling estiamtes of \(E[h(X)] = [h(X)]'W\)

Definition at line 56 of file is_integrate.hpp.