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

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

David Mollitor (Jira)
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: 3.0


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

David Mollitor (Jira)

     [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Pavel Ryzhov updated MATH-463:
------------------------------

    Attachment: mc1.patch

The initial implementation of Monte-Carlo engine.

> 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: 3.0
>
>         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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[jira] [Updated] (MATH-463) Monte Carlo engine with 1D path

David Mollitor (Jira)
In reply to this post by David Mollitor (Jira)

     [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Phil Steitz updated MATH-463:
-----------------------------

    Fix Version/s:     (was: 3.0)
                   3.1

I like the ideas here; but the design needs some discussion and the new classes can be added without compat breaks, so pushing to 3.1

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

David Mollitor (Jira)
In reply to this post by David Mollitor (Jira)

    [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13095368#comment-13095368 ]

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

The patch is quite old. The code has been used quite heavily by me and evolved. But anyway as I'm the only developer and user of code I would love to see discussion of the design. Just to find out my pitfalls in the design.

So, I'm going to re-integrate it back into Commons Math hopefully at the end of week or during the next week.



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

David Mollitor (Jira)
In reply to this post by David Mollitor (Jira)

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

David Mollitor (Jira)
In reply to this post by David Mollitor (Jira)

     [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Gilles resolved MATH-463.
-------------------------

       Resolution: Incomplete
    Fix Version/s:     (was: 3.1)

Closing, since no update is expected in the short term, as per the last comment from the reporter (and sole contributor of the code).

               

> 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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