Algorithm
- To: mathgroup at smc.vnet.net
- Subject: [mg30072] Algorithm
- From: Yannis.Paraskevopoulos at ubsw.com
- Date: Thu, 26 Jul 2001 01:20:08 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
Hi all,
lately I've been trying to translate to mathematica the following
algorithm and it seems that everything is horribly slow and frustrating
to a degree that I think that your kind help will be necessary.
The algorithm goes like that:
1)define t_i=2*i/100 ,i=1,2,...,500
and X_t0=X
2)for j=1,2,...,10,000
Do
a) generate x_i from N(0.05,1),p_i from N(0,1) and
let y_i be 0, with probability 0.9 and 1 with probability
0.1
b) calculate ln(X_t(i))=ln(X_t(i-1))+(x_i)+(y_i)*(p_i)
c) for the smallest i<=500 such that ln(X_t(i))<=0 set
W_j=1-0.4*X_t(i). Otherwise W_j=0
3) calculate final=1-Sum[W_j/10,000, {j,1,10,000}]
any help will be much appreciated.
best regards
yannis
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