A trivial Monte Carlo integrator. Just a quick-and-dirty example, nothing more.

mc_integrate_trivial.cc

/************** A simple MC integrator **************/
#include<iostream>
#include<boost/random.hpp>

using namespace std ; 

double f(double);  // to be integrated
double w(double);  // probab. dens.


int main(){

  boost::mt19937 rng(11u); 
  boost::variate_generator< boost::mt19937&, boost::uniform_01<> > rndm(rng, boost::uniform_01<>()) ;

  double sum=0., Z=0. ;
  size_t sweep=0;  
  for(;;){
   sweep++;
   for(int j=0; j<1000000 ; ++j ){
     double x=-log(rndm());  // W(x)dx = exp(-x)dx 
     sum += f(x)/w(x) ; 
     Z += 1.;   
   }; 
   cout<<sweep<<":  "<<sum/Z<<"\n";
  }  

}


// to be integrated
double f(double x){
  return exp(-8.*x);
}

// probab density
double w(double x){
  return exp(-x);
}