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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Updated] (MATH-463) Monte Carlo engine with 1D path
Date Wed, 10 Aug 2011 07:07:27 GMT

     [ 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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