MonteCarloIntegrator.java

package net.finmath.integration;

import java.util.function.DoubleUnaryOperator;
import java.util.stream.DoubleStream;
import java.util.stream.IntStream;

import net.finmath.randomnumbers.MersenneTwister;


/**
 * A simple integrator using Monte-Carlo integration.
 * 
 * The constructor has an optional argument to allow
 * parallel function evaluation. In that case, the integration rule
 * uses Java 8 parallel streams to evaluate.
 * 
 * @author Christian Fries
 */
public class MonteCarloIntegrator extends AbstractRealIntegral{

	private int		numberOfEvaluationPoints;
	private int		seed = 3141;

	/**
	 * Create an integrator using Simpson's rule.
	 * 
	 * @param lowerBound Lower bound of the integral.
	 * @param upperBound Upper bound of the integral.
	 * @param numberOfEvaluationPoints Maximum number of evaluation points to be used, must be greater or equal to 3.
	 * @param useParallelEvaluation If true, the integration rule will perform parallel evaluation of the integrand.
	 */
	public MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints, boolean useParallelEvaluation) {
		super(lowerBound, upperBound);
		if(numberOfEvaluationPoints < 3) throw new IllegalArgumentException("Invalid numberOfEvaluationPoints.");
		this.numberOfEvaluationPoints = numberOfEvaluationPoints;
	}

	/**
	 * Create an integrator using Simpson's rule.
	 * 
	 * @param lowerBound Lower bound of the integral.
	 * @param upperBound Upper bound of the integral.
	 * @param numberOfEvaluationPoints Maximum number of evaluation points to be used.
	 */
	public MonteCarloIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints) {
		this(lowerBound, upperBound, numberOfEvaluationPoints, false);
	}

	/* (non-Javadoc)
	 * @see net.finmath.integration.AbstractRealIntegral#integrate(java.util.function.DoubleUnaryOperator)
	 */
	@Override
	public double integrate(DoubleUnaryOperator integrand) {
		double	lowerBound			= getLowerBound();
		double	upperBound			= getUpperBound();
		double	range				= upperBound-lowerBound;
		
		// Create random number sequence generator (we use MersenneTwister)
		MersenneTwister		mersenneTwister		= new MersenneTwister(seed);

		DoubleStream randomNumberSequence = IntStream.range(0, numberOfEvaluationPoints).sequential().mapToDouble(i -> mersenneTwister.nextDouble());

		return randomNumberSequence.map(x -> (integrand.applyAsDouble(lowerBound + x * range))).sum() * range / numberOfEvaluationPoints;
	}
}