While we are at this sort of talk, R has awesome capabilities in this regard as well.
On Wed, Dec 8, 2010 at 11:35 AM, Haswell, Joe <[email protected]>wrote: > If you're starting from scratch, I strongly recommend SciPy/NumPy. The > libraries are truly first-rate, Python is absurdly easy to learn, and you > won't deal with many of the complexities that the Java paradigm forces on > you. I don't really want this to turn into a flame-war, but I take the > "best tool for the job" approach, and I think that, for this sort of thing, > SciPy/NumPy are about as good as you can get. > > You might consider Enthought's Python edition, but ensure that its license > requirements are appropriate for your context. > > Best! > > > Joe H. | HP Software > > -----Original Message----- > From: Rothenberg, Michael [mailto:[email protected]] > Sent: Wednesday, December 08, 2010 11:27 AM > To: Commons Users List > Subject: RE: [MATH] Looking for example code for the math.random and > math.optimization libraries > > 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] > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: [email protected] > For additional commands, e-mail: [email protected] > >
