QuoteOriginally posted by: FinancialAlexIt would be also useful to have multilevel approach implemented in Monte Carlo library. It is very powerful (convergence speedup by one or more orders of magnitude) and generic enough to be considered.For more on this topic one can study the papers written by Mike Giles and collaborators and described hereI have a software architecture based on domain architectures, patterns and Boost that I am writing up and can try to use it to accommodate bespoke MC functionality. The basic design is described in chap 0 of the book by Kienitz and myself but we wish to extend it to n-factor cases. In order to satisfy all domain and s/w requiremnents, I think you will need to address the problem at 2 levels:A. Technology-independentDecompose system into cohesive, loosely coupled subsystems; determine inter-system services.B. Technology-dependentMap subsystems and services to a particular s/w paradigm (OOP, GP) and technology (C++, boost, C#, Matlab). Regarding authors of MC s/w, a requirement is that you can give a black box I/O description of your modules, ideally at both A and B levels.
Last edited by Cuchulainn
on October 18th, 2011, 10:00 pm, edited 1 time in total.