Class MonteCarloIntegrator

java.lang.Object
net.finmath.integration.AbstractRealIntegral
net.finmath.integration.MonteCarloIntegrator
All Implemented Interfaces:
RealIntegral

public class MonteCarloIntegrator extends AbstractRealIntegral
A simple integrator using Monte-Carlo integration. The constructor has an optional argument to allow parallel function evaluation. In that case, the integration rule uses Java 8 parallel streams to evaluate.
Version:
1.0
Author:
Christian Fries
  • Constructor Details

    • MonteCarloIntegrator

      public MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints, int seed, boolean useParallelEvaluation)
      Create an integrator using Monte-Carlo integration.
      Parameters:
      lowerBound - Lower bound of the integral.
      upperBound - Upper bound of the integral.
      numberOfEvaluationPoints - Maximum number of evaluation points to be used, must be greater or equal to 3.
      seed - The seed of the random number generator.
      useParallelEvaluation - If true, the integration rule will perform parallel evaluation of the integrand.
    • MonteCarloIntegrator

      public MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints, boolean useParallelEvaluation)
      Create an integrator using Monte-Carlo.
      Parameters:
      lowerBound - Lower bound of the integral.
      upperBound - Upper bound of the integral.
      numberOfEvaluationPoints - Maximum number of evaluation points to be used, must be greater or equal to 3.
      useParallelEvaluation - If true, the integration rule will perform parallel evaluation of the integrand.
    • MonteCarloIntegrator

      public MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints)
      Create an integrator using Monte-Carlo.
      Parameters:
      lowerBound - Lower bound of the integral.
      upperBound - Upper bound of the integral.
      numberOfEvaluationPoints - Maximum number of evaluation points to be used.
  • Method Details