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VEGAS algorithm

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A method for reducing error in Monte Carlo simulation by using a known or approximate probability distribution function to concentrate the search in those areas of the graph that make the greatest contribution to the final integral.

See also:

G.P. Lepage, A New Algorithm for Adaptive Multidimensional Integration, Journal of Computational Physics 27, 192-203, (1978) G.P. Lepage, VEGAS: An Adaptive Multi-dimensional Integration Program, Cornell preprint CLNS 80-447, March 1980

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