int300_3d: Initial design for the 3D Bermudan max-Call example

In mludkov/mlOSP: Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping

Initial design for the 3D Bermudan max-Call example

Description

A dataset containing 300 initial locations to be used with osp.seq.design. The max Call has strike K=100 and i.i.d assets, so the experimental design is roughly symmetric. The design is space-filling a hyper-rectangular in-the-money region

Usage

int300_3d

Format

An array with 300 rows and 3 columns:

row

unique designs

columns

values of corresponding x_1, x_2 and x_3 coordinates

mludkov/mlOSP documentation built on April 29, 2023, 7:56 p.m.