I have a large 3rd party Monte carlo model/simulator here that we discovered was not mean reverting (by a long ways as far as we are concerned) when it pulls random data for stochastic runs. I was told to go out and find something, preferably free, to use to pull the seed values for the 3rd part modeler. So I am starting from scratch, but do not have to build much. Once the data is derived I just have to stuff it into an Access or MS SQL table that the 3rd party modeler uses.
I think what I am looking for is to 1st define the mean and stddev for two variables and set their correlation. 2nd pull a large number of random data pairs where the mean for the new data will match the mean for the historical. I'll look further into the GausianRandomGenerator. I got to looking at the Apache Commons library as I am mildly familiar with Java. I assume NumPy/SciPy are Python based? I am not familiar with Python, but can always learn ;) Thanks again for your help. Best regards, Michael w: 561.304.5921 m: 772.263.8343 -----Original Message----- From: Haswell, Joe [mailto:[email protected]] Sent: Wednesday, December 08, 2010 1:07 PM To: Commons Users List Subject: RE: [MATH] Looking for example code for the math.random and math.optimization libraries Ok. So, CorrelatedRandomVectorGenerator is an actual implementation. It sounds like you'll want to use the GaussianRandomGenerator implementation of NormalizedRandomGenerator. You might assess Array2DRowRealMatrix suits your data, but you have options. Unless you're using this in an existing Java application, you might also consider using NumPy/SciPy, which dramatically simplify most scientific computing relative to Java solutions. Commons-math is a good Java math library, but Java's not a great platform for this sort of thing. Joe H. -----Original Message----- From: Rothenberg, Michael [mailto:[email protected]] Sent: Wednesday, December 08, 2010 10:58 AM To: Commons Users List Subject: RE: [MATH] Looking for example code for the math.random and math.optimization libraries Thanks for the quick response, Joe. I am trying to pull random data based on a distribution to start with. I have two variables with historical data and a correlation between them: power and gas prices. I am now looking to simulate some relationships. 1st step is to pull random power and gas pairs for each time period based on a distribution (historical mean/stddev) and correlation. Lognormal is preferred, but I can make normal into log normal if needed. I was browsing through math.random and came across the CorrelatedRandomVectorGenerator class. Sounds like that is right up my alley in terms of fitting my needs... but I have no idea how to implement/use it. Thanks in advance for your help! Best regards, Michael w: 561.304.5921 m: 772.263.8343 -----Original Message----- From: Haswell, Joe [mailto:[email protected]] Sent: Wednesday, December 08, 2010 12:41 PM To: Commons Users List Subject: RE: [MATH] Looking for example code for the math.random and math.optimization libraries Do you have any specific questions? Hard to point you in the right direction or provide help if I don't know what you need. Joe H. | HP Software. -----Original Message----- From: Rothenberg, Michael [mailto:[email protected]] Sent: Wednesday, December 08, 2010 10:38 AM To: [email protected] Subject: [MATH] Looking for example code for the math.random and math.optimization libraries Hi all, I have been reading the JavaDoc and everything else I can find on the Commons.Math.Random and .Optimization libraries, but have not figured out how to use them. Does anyone have any code examples/web sites/forums/etc.. that I can use? Best regards, Michael --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected] --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected] --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected] --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected]
