Mcsl monte carlo simulation language
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MCSL Monte Carlo simulation language. Diego Garcia Eita Shuto Yunling Wang Chong Zhai. Outline of Presentation. Introduction of language Language tutorial and examples Architectural design and implementation Summary and lessons learned. Monte Carlo methods.

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Mcsl monte carlo simulation language

MCSLMonte Carlo simulation language

Diego Garcia

Eita Shuto

Yunling Wang

Chong Zhai


Outline of presentation
Outline of Presentation

  • Introduction of language

  • Language tutorial and examples

  • Architectural design and implementation

  • Summary and lessons learned


Monte carlo methods
Monte Carlo methods

  • a class of computational algorithms that rely on repeated random sampling to compute their results.

  • Why interested with it?

  • widely used

  • good performance

  • possibly the only

  • efficient approach


Applications
Applications

  • Physics

    • high energy particle physics, quantum many-body problem, transportation theory

  • Mathematics

    • Integration, Optimization, Inverse problems, Computational mathematics

  • Computer science

    • Las Vegas algorithm, LURCH, Computer Go, General Game Playing

    • Finance

    • Option, instrument, portfolio or investment


Algorithm of mcsl
Algorithm of MCSL

  • Generation particular distributed psedu-random numbers (or low discrepancy sequence)

  • Evaluate the function by sampling with these numbers

  • Aggregate results! (weight might be counted, variational method or conditional acceptance might be considered)


Advantages
Advantages

  • Fast Random number algorithm (with good performance also)

  • Other than iteration, consider all samples as a single vector

  • Built-in Function to simplify aggregate process with different conditioning.


Example one calculation of 3 14159265358979323846
Example One Calculation of “π” =3.14159265358979323846…



Example 2 pollard s rho algorithm
Example 2-Pollard'srho algorithm






Summary and lessons learned
Summary and lessons learned

  • Teamwork and effective project management

  • SVN (Subversion) on Googlecode

  • Incremental Development Approach

  • 1

  • 2

  • 3

  • 4


Thank you
Thank You!

  • MCSL Team

  • Columbia University

  • Dec 19th, 2008


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