l2discrepancy.java

金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料

/* WARANTY NOTICE AND COPYRIGHT
This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.

Copyright (C) Michael J. Meyer

[e-mail]
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*/


/*
 * L2Discrepancy.java
 *
 * Created on April 26, 2002, 5:51 PM
 */

package Examples.QuasiMonteCarlo;

import com.skylit.io.EasyReader;
import Statistics.*;
import QuasiRandom.*;
import Market.*;
import Options.*;
import Graphics.*;

/** <p>Computes L2-discrepancies both using the recursive and explicit
 *  formulas. Tests if these formulas agree.</p>
 *
 * @author  Michael J. Meyer
 */
public class L2Discrepancy { 
    
   public static void main(String[] args)
   {
      int  dim,
           N;
      String str=null;
      
      // read dimension and number of Monte Carlo runs:
      EasyReader io=new EasyReader();
      
      // main loop, terminates when progress bar is closed
      while(true){
          
      System.out.print
      ("\n\n\nComputing the L2-discrepancy.\n\n"+
       "Halton (1), Sobol (2), Uniform (3)\n"+
       "Enter choice: ");
      
      int sequence=io.readInt();
      
      System.out.print("Enter dimension: ");
      dim=io.readInt();
      
      System.out.print("Enter number of points: ");
      N=io.readInt();
      
      LowDiscrepancySequence S=null;
      
      switch(sequence)
      {
          case 1: S=new Halton(dim);
                  str="Halton sequence";
                  break;
          
          case 2: S=new Sobol(dim);
                  str="Sobol sequence"; 
                  break;
                  
          case 3: S=new Uniform(dim);
                  str="Uniform sequence"; 
      
      } // end switch
                      

      // allocate and fill the point array
      double[][] r=new double[N][dim];     
      for(int n=0;n<N;n++)S.nextPoint(r[n]);
      double T_N=0;                     
      
      System.out.println("\n\nL2-DISCREPANCY, "+str+":\n");
      
      // recursive computation, report progress 
      LoopStatus loopStatus=new LoopStatus();
      long before=System.currentTimeMillis();
      int loops=0;

      for(int n=0;n<N;n++)
      {
          T_N=S.L2_discrepancy(n,r,T_N);
          if(n%1000==0)
          System.out.println("n="+(n+1)+", recursive  T_n="+T_N);

          // progress report, triangular nature of the main sum
          loops++;
          if(loops%150==149)
          loopStatus.progressReport(loops,N*(N-1)/2,15,before); 
      }
      
      long after=System.currentTimeMillis(),
           time=after-before;
      System.out.println("\n\nRecursive  T_"+N+" = "+T_N+
                         "\nTime: "+time);

      
    
      // direct computation
      before=System.currentTimeMillis();
      T_N=S.L2_discrepancy(N,r);
      after=System.currentTimeMillis();
      time=after-before;
      System.out.println("\n\nDirect  T_"+N+" = "+T_N+
                         "\nTime: "+time);
    
      
      } // end main loop
      
      
   } // end main
              
} // end SobolPointDiscrepancy