[SciPy-user] Monte Carlo & sparse.linsolve for medium size arrays - any strategies?

[Zakaria Ali]

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
>
> --
> ############################
> Chris Mutel
> Ökologisches Systemdesign - Ecological Systems Design
> Institut f.Umweltingenieurwissenschaften - Institute for Environmental
> Engineering
> ETH Zürich - HIF C 42 - Schafmattstr. 6
> 8093 Zürich
>
> Telefon: +41 44 633 71 45 - Fax: +41 44 633 10 61
> ############################
> _______________________________________________
> SciPy-user mailing list
> SciPy-user at scipy.org
> http://projects.scipy.org/mailman/listinfo/scipy-user
>


Ali Zakaria,
AIMS(African Institute for Mathematical Sciences),
6 Melrose Road,
Muizenberg, 7945
Cape Town |South Africa
Cell phone: +27 783614549