<p dir="ltr">Option pricing and calculating the Greeks. </p>
<p dir="ltr">Why is GP/GA poor in performance? Best is to find a way to make it gain performance. Otherwise what is the use of adding just for the sake of adding it. </p>
<p dir="ltr">Also it would be good to have journaling / event sourcing option for the engine along side logging. </p>
<div class="gmail_quote">On 25 Oct 2013 19:48, "ge0ffrey [via Drools]" <<a href="/user/SendEmail.jtp?type=node&node=4026501&i=0" target="_top" rel="nofollow" link="external">[hidden email]</a>> wrote:<br type="attribution">
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<div>On 25-10-13 16:08, sirinath wrote:<br>
</div>
<blockquote style='border-left:2px solid #CCCCCC;padding:0 1em' style="border-left:2px solid #cccccc;padding:0 1em" type="cite">
<p dir="ltr">Where is Drools chance hosted?</p>
</blockquote>
<a href="https://github.com/droolsjbpm/drools-chance" rel="nofollow" link="external" target="_blank">https://github.com/droolsjbpm/drools-chance</a><br>
<blockquote style='border-left:2px solid #CCCCCC;padding:0 1em' style="border-left:2px solid #cccccc;padding:0 1em" type="cite">
<p dir="ltr">Perhaps GA/GP can be a part of this? </p>
</blockquote>
Yes, here's a Genetic Algoritms prototype for OptaPlanner:<br>
<a href="https://github.com/elsam/optaplanner" rel="nofollow" link="external" target="_blank">https://github.com/elsam/optaplanner</a><br>
Results with GA's were poor, but we're going to add it sooner or
later.<br>
Here's the relevant issue to add it:<br>
<a href="https://issues.jboss.org/browse/PLANNER-154" rel="nofollow" link="external" target="_blank">https://issues.jboss.org/browse/PLANNER-154</a><br>
<br>
<blockquote style='border-left:2px solid #CCCCCC;padding:0 1em' style="border-left:2px solid #cccccc;padding:0 1em" type="cite">
<p dir="ltr">Also Monte Carlo.</p>
<p dir="ltr">Maybe the current way to do is awkward? Is this
covered in the documentation? </p>
</blockquote>
simulation isn't covered in the documentation.<br>
<br>
What kind of simulation do you want to do?<br>
What's the problem definition?<br>
<br>
<blockquote style='border-left:2px solid #CCCCCC;padding:0 1em' style="border-left:2px solid #cccccc;padding:0 1em" type="cite">
<div class="gmail_quote">On 25 Oct 2013 17:54, "ge0ffrey [via
Drools]" <<a href="http://user/SendEmail.jtp?type=node&node=4026499&i=0" rel="nofollow" link="external" target="_blank">[hidden email]</a>>
wrote:<br type="attribution">
<br>
On 25-10-13 12:50, sirinath wrote:
<br>
> Hi,
<br>
>
<br>
> Is it possible to provide more out of the box optimisers
and solvers as part
<br>
> of OptaPlanner.
<br>
Yes, we're trying to add more every major release.
<br>
For 6.1 we 'll probably add the CH's "cheapest insertion" and
"regret <br>
insertion".
<br>
If you want to add one yourself, start by looking at <br>
DefaultLocalSearchSolverPhase.java.
<br>
>
<br>
> Also add functionality for simulations (Monte Carlo)
which would be a good
<br>
> addition and fit.
<br>
Simulation support would be great indeed - but the
requirements aren't <br>
clearly definied yet (feedback, examples or use cases
welcome).
<br>
<br>
It's already possible to do simulation + optimization
<br>
by doing the simulation inside the score function (for example
by <br>
running a monte carlo simulation)
<br>
and doing the optimization with optaplanner.
<br>
<br>
drools-chance (very experimental currently) has a lot of
constructs that <br>
can help in simulation (bayes stuff etc).
<div><br>
>
<br>
> Suminda
<br>
>
<br>
>
<br>
>
<br>
> --
<br>
> View this message in context: <a href="http://drools.46999.n3.nabble.com/Monte-Carlo-and-additional-Optimisers-for-OptaPlanner-tp4026495.html" rel="nofollow" link="external" target="_blank">http://drools.46999.n3.nabble.com/Monte-Carlo-and-additional-Optimisers-for-OptaPlanner-tp4026495.html</a><br>
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