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From Charles Earl <charlesce...@me.com>
Subject Re: Monte Carlo toolkits in Mahout?
Date Thu, 27 Oct 2011 14:03:06 GMT
Hi Ted,
This is mostly for particle event simulation, I'll give the FOAM toolkit as an example
   http://jadach.home.cern.ch/jadach/Foam/Index.html
But I'm trying to determine if there might be commonalities for other domains, options pricing
as one.
Yes, you are right about GNU SL. I have also wonder whether Colt or Parallel Colt might be
worth investigating.
Thanks
Charles

On Oct 26, 2011, at 5:47 PM, Ted Dunning wrote:

> We have no significant monte carlo methods in Mahout.
> 
> We do have a reasonable evolutionary optimizer, but randomness isn't the
> same as a real Monte Carlo code in the sense of Metropolis-Hastings or Gibbs
> sampling.
> 
> What do you mean by "capability of GNU scientific computing library"?  I
> don't know of any significant MCMC code there either.
> 
> In general, efficient MonteCarlo codes can be tricky to get to work in the
> map-reduce paradigm.  You can start multiple chains, but that doesn't
> necessarily help if all have to spend a long time burning in.
> 
> Can you say more about what you are looking for?
> 
> On Wed, Oct 26, 2011 at 2:34 PM, Charles Earl <charlescearl@me.com> wrote:
> 
>> I'm interested to learn if there is a general  monte carlo methods package
>> that has been developed for Mahout or Hadoop. For example, having the
>> capability of GNU scientific computing library. This might be off the
>> machine learning focus of Mahout, but thought there might be overlap.
>> Thanks.
>> Charles Earl
>> 
>> 


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