Package org.drip.numerical.rdintegration

Class MonteCarloIntegrator

java.lang.Object

org.drip.numerical.rdintegration.MonteCarloIntegrator

Direct Known Subclasses:

UniformSamplingIntegrator

public abstract class MonteCarloIntegrator
extends java.lang.Object

MonteCarloIntegrator implements the following routines for Monte-Carlo Integration of R^d To R¹ objective Function. The References are:

• Kroese, D. P., T. Taimre, and Z. I. Botev (2011): Handbook of Monte Carlo Methods John Wiley and Sons Hoboken NJ
• MacKay, D. (2003): Information Theory, Inference, and Learning Algorithms Cambridge University Press New York NY
• Newman, M. E. J., and G. T. Barkema (1999): Monte Carlo Methods in Statistical Physics Oxford University Press Oxford UK
• Press, W. H., S. A. Teukolsky, W. T. Vetterling, B. P. Flannery (2007): Numerical Recipes: The Art of Scientific Computing 3^rd Edition Cambridge University Press New York NY
• Wikipedia (2025): Monte Carlo Integration https://en.wikipedia.org/wiki/Monte_Carlo_integration

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities
• Package = R^d to R¹ Numerical Integration Schemes

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MonteCarloIntegrator(QuadratureSetting integratorSetting, int samplingPointCount, boolean diagnosticsOn)	MonteCarloIntegrator Constructor

Method Summary

Modifier and Type	Method	Description
boolean	diagnosticsOn()	Indicate if Diagnostics are turned on
QuadratureSetting	integratorSetting()	Retrieve the Underlying RdToR1IntegratorSetting Instance
abstract MonteCarloRun	quadratureRun()	Compute the RdToR1MonteCarloRun Uniform Sampling Run
int	samplingPointCount()	Retrieve the Count of Sampling Points

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MonteCarloIntegrator

public MonteCarloIntegrator(QuadratureSetting integratorSetting,
int samplingPointCount,
boolean diagnosticsOn)
                     throws java.lang.Exception

MonteCarloIntegrator Constructor

Parameters:

integratorSetting - Underlying RdToR1IntegratorSetting Instance

samplingPointCount - Sampling Points Count

diagnosticsOn - TRUE - Diagnostics are turned on

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

integratorSetting

public QuadratureSetting integratorSetting()

Retrieve the Underlying RdToR1IntegratorSetting Instance

Returns:

Underlying RdToR1IntegratorSetting Instance

samplingPointCount

public int samplingPointCount()

Retrieve the Count of Sampling Points

Returns:

Count of Sampling Points

diagnosticsOn

public boolean diagnosticsOn()

Indicate if Diagnostics are turned on

Returns:

TRUE - Diagnostics are turned on

quadratureRun

public abstract MonteCarloRun quadratureRun()

Compute the RdToR1MonteCarloRun Uniform Sampling Run

Returns:

RdToR1MonteCarloRun Uniform Sampling Run