Struct MonteCarloEngine 

pub struct MonteCarloEngine {
    pub n_simulations: usize,
    pub seed: u64,
    pub variance_reduction: VarianceReduction,
    pub target_precision: f64,
    pub max_simulations: usize,
}

Monte Carlo simulation engine

Fields

n_simulations: usize

Number of simulation paths

seed: u64

Random seed for reproducibility

variance_reduction: VarianceReduction

Variance reduction technique

target_precision: f64

Target relative precision for convergence

max_simulations: usize

Maximum simulations before stopping

Implementations

impl MonteCarloEngine

pub fn new(seed: u64) -> MonteCarloEngine

Create a new engine with specified seed

pub fn reproducible(seed: u64) -> MonteCarloEngine

Create a reproducible engine with specific seed

pub fn with_n_simulations(self, n: usize) -> MonteCarloEngine

Set number of simulations

pub fn with_variance_reduction(self, vr: VarianceReduction) -> MonteCarloEngine

Set variance reduction technique

pub fn with_target_precision(self, precision: f64) -> MonteCarloEngine

Set target precision

pub fn with_max_simulations(self, max: usize) -> MonteCarloEngine

Set maximum simulations

pub fn simulate<M>( &self, model: &M, time_horizon: &TimeHorizon, ) -> SimulationResult

where M: SimulationModel,

Run simulation with given model

pub fn simulate_with_budget<M>( &self, model: &M, time_horizon: &TimeHorizon, budget: &Budget, ) -> SimulationResult

where M: SimulationModel,

Run simulation with custom budget

Trait Implementations

impl Clone for MonteCarloEngine

fn clone(&self) -> MonteCarloEngine

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for MonteCarloEngine

fn fmt(&self, f: &mut Formatter<'_>) -> Result<(), Error>

Formats the value using the given formatter.

impl Default for MonteCarloEngine

fn default() -> MonteCarloEngine

Returns the “default value” for a type.