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Posted to issues@commons.apache.org by "Thomas Neidhart (JIRA)" <ji...@apache.org> on 2013/05/12 18:31:16 UTC

[jira] [Commented] (MATH-463) Monte Carlo engine with 1D path

    [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13655568#comment-13655568 ] 

Thomas Neidhart commented on MATH-463:
--------------------------------------

Thanks for the pointer, I have already taken a look at the code, but will need more time to evaluate it.

btw. CM has now also a Sobol sequence generator, see MATH-826.
                
> Monte Carlo engine with 1D path
> -------------------------------
>
>                 Key: MATH-463
>                 URL: https://issues.apache.org/jira/browse/MATH-463
>             Project: Commons Math
>          Issue Type: New Feature
>            Reporter: Pavel Ryzhov
>         Attachments: mc1.patch
>
>
> Quite simple Monte-Carlo engine:
> 1. Generates N samples (paths) of Ito process with given drift and
> diffusion. It uses simple Euler discretization on equally spaced time scale.
> 2. For each path evaluate some path function and provide this value to
> SummaryStatistics.

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