int_2d: Initial design for the 2D Bermudan Put example

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

Initial design for the 2D Bermudan Put example

Description

A dataset containing 20 initial locations to be used with osp.seq.design. The Put has strike K=40 and i.i.d assets, so the experimental design is roughly symmetric. The design is space-filling a triangular in-the-money region

Usage

int_2d

Format

An array with 20 rows and 2 columns:

row

unique designs

columns

values of corresponding x_1 and x_2 coordinates

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