Option pricing and calculating the Greeks.
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.
Also it would be good to have journaling / event sourcing option for the engine along side logging.
On 25-10-13 16:08, sirinath wrote:
https://github.com/droolsjbpm/drools-chanceWhere is Drools chance hosted?
Yes, here's a Genetic Algoritms prototype for OptaPlanner:Perhaps GA/GP can be a part of this?
https://github.com/elsam/optaplanner
Results with GA's were poor, but we're going to add it sooner or later.
Here's the relevant issue to add it:
https://issues.jboss.org/browse/PLANNER-154
simulation isn't covered in the documentation.Also Monte Carlo.
Maybe the current way to do is awkward? Is this covered in the documentation?
What kind of simulation do you want to do?
What's the problem definition?
On 25 Oct 2013 17:54, "ge0ffrey [via Drools]" <[hidden email]> wrote:
On 25-10-13 12:50, sirinath wrote:
> Hi,
>
> Is it possible to provide more out of the box optimisers and solvers as part
> of OptaPlanner.
Yes, we're trying to add more every major release.
For 6.1 we 'll probably add the CH's "cheapest insertion" and "regret
insertion".
If you want to add one yourself, start by looking at
DefaultLocalSearchSolverPhase.java.
>
> Also add functionality for simulations (Monte Carlo) which would be a good
> addition and fit.
Simulation support would be great indeed - but the requirements aren't
clearly definied yet (feedback, examples or use cases welcome).
It's already possible to do simulation + optimization
by doing the simulation inside the score function (for example by
running a monte carlo simulation)
and doing the optimization with optaplanner.
drools-chance (very experimental currently) has a lot of constructs that
can help in simulation (bayes stuff etc).
>
> Suminda
>
>
>
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