Hello Christopher Mutel, I am working in the optimal stopping time of Bermudan construction, and I need many simulation liike Monte carlo simulation and so on ... . Please kindly if you have or know something about Monte carlo simulation or you have some code about that try to send them to me. I want to get idea from that and to simulate my problem. Thanks I am looking forward to hearing from you.
Hello-
I am working with medium size sparse matrices (4000 by 4000, coverage of ~1%), and need to do uncertainty analysis using a Monte Carlo approach. For each element in the matrix, I have an average value, the distribution (mostly lognormal, some normal and uniform), and the relevant uncertainty parameters. I am solving the classic Ax = B matrix problem, where the large matrix is A; B is a constant array. I anticipate needing to do on the order of 1000 iterations.
SciPy is a fantastic library, but I am not creative enough to come up with an efficient way to store the relevant uncertainty information so that I am not iteratively generating the large matrix for each Monte Carlo run. Is there a clever way to construct or sublcass a sparse matrix as a generator, so that each time it is referenced a new matrix is generated? Or is there a better approach (i.e. I am sure there is a better approach that I haven't thought of)? I know that this is a rather general question, but I have been thinking about this off and on for quite a while, and have had great luck in the past getting help on this list.
Thanks in advance!
-Chris
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