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