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

["Pavel Ryzhov (Commented) (JIRA)" <ji...@apache.org>]

    [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13176113#comment-13176113 ] 

Pavel Ryzhov commented on MATH-463:
-----------------------------------

As the patch is one year old, I've got no time to reintegrate the patch and the engine itself is a quite isolated part of commons math library, I decided to publish it separately on google code hosting licensed under Apache License 2.0: http://code.google.com/p/montecarlo-java/

There are few task left for the engine to be complete from my internal point of view:
1. Remove colt dependency and substitute it with commons math matrix functionality.
2. Make a coverage-guided unit-testing. Commonly used functionality is tested in the internal product but whole the functionality has not been properly tested yet.
3. Documentation clean-up.

I would like to see this library integrated back into Commons Math some days but it is not of my priority right now.
                
> 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
>             Fix For: 3.1
>
>         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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