MatCarlo
From FarmShare
Matlab and Monte Carlo simulations
This example shows the use of python to generate many matlab jobs. Each of these matlab jobs is a monte carlo simulation with different parameters as written about here http://en.literateprograms.org/Monte_Carlo_simulation_%28Matlab%29#chunk%20def:simplest_monovariate_montecarlo.
setup
import os n = 0 for mymu in [ 0.05, 0.06, 0.07, 0.08, 0.09 ]: for myT in range(10,50,10): n += 1 matlabstartup = ''' S0 = 1000 mu = %f sigma = .12 T = %d nb_traj = 100 step = 1/255 [S, t] = simplest_montecarlo0( sigma, T, nb_traj, S0, mu, step); listOfVariables = {'S', 't'}; save('run%d/mydata.mat', listOfVariables{:}); mcplot = figure('Color',[0.9412 0.9412 0.9412 ]); plot(t,S, 'linewidth',2); axis([t(1) t(end) min(S(:)) max(S(:))]); xlabel('time');ylabel('value'); title(sprintf('%%d trajectories', size(S,2))); print(mcplot,'-dpng','run%d/figure.png') ''' % (mymu, myT, n, n) qsubscript = ''' #$ -N run%d #$ -o run%d/job.out #$ -e run%d/job.error #$ -cwd #$ -S /bin/bash #$ -l testq=1 /mnt/glusterfs/software/non-free/MATLAB-R2012b/bin/matlab -nodesktop -singleCompThread < run%d/run.m ''' % (n,n,n,n) os.mkdir('run%d' % n) runfile = open('run%d/run.m' % n, 'w') runfile.write(matlabstartup) runfile.close() qsubfile = open('run%d/run.submit' % n, 'w') qsubfile.write(qsubscript) qsubfile.close() os.system('qsub run%d/run.submit' % n)
function [S, t] = simplest_montecarlo0( sigma, T, nb_traj, S0, mu, step) % SIMPLEST_MONTECARLO - the simplest Monte Carlo simulation with Matlab % use: % S = simplest_montecarlo( sigma, T, nb_traj, S0, mu, step) % example: % [S, t] = simplest_montecarlo( .12, 5, 50, 100, .05, 1/255); nT = ceil(T/step); W = sigma * sqrt(step) * cumsum(randn(nT, nb_traj)); c = repmat((mu - sigma^2/2) *step * (1:nT)',1,nb_traj); S = [repmat(S0,1,nb_traj); S0 * exp( c + W)]; if nargout > 1 t = [0;step * (1:nT)']; end
running
bishopj@corn08:/mnt/glusterfs/bishopj/mattest$ python ~/farmshare/simplemonte.py Your job 669323 ("run1") has been submitted Your job 669324 ("run2") has been submitted Your job 669325 ("run3") has been submitted Your job 669326 ("run4") has been submitted Your job 669327 ("run5") has been submitted Your job 669328 ("run6") has been submitted Your job 669329 ("run7") has been submitted Your job 669330 ("run8") has been submitted Your job 669331 ("run9") has been submitted Your job 669332 ("run10") has been submitted Your job 669333 ("run11") has been submitted Your job 669334 ("run12") has been submitted Your job 669335 ("run13") has been submitted Your job 669336 ("run14") has been submitted Your job 669337 ("run15") has been submitted Your job 669338 ("run16") has been submitted Your job 669339 ("run17") has been submitted Your job 669340 ("run18") has been submitted Your job 669341 ("run19") has been submitted Your job 669342 ("run20") has been submitted bishopj@corn08:/mnt/glusterfs/bishopj/mattest$ qstat job-ID prior name user state submit/start at queue slots ja-task-ID ----------------------------------------------------------------------------------------------------------------- 669323 0.25000 run1 bishopj r 02/19/2013 14:08:10 test.q@barley-testq.stanford.e 1 669324 0.25000 run2 bishopj r 02/19/2013 14:08:10 test.q@barley-testq.stanford.e 1 669325 0.25000 run3 bishopj r 02/19/2013 14:08:10 test.q@barley-testq.stanford.e 1 669326 0.25000 run4 bishopj r 02/19/2013 14:08:10 test.q@barley-testq.stanford.e 1 669327 0.25000 run5 bishopj qw 02/19/2013 14:08:07 1 669328 0.25000 run6 bishopj qw 02/19/2013 14:08:08 1 669329 0.25000 run7 bishopj qw 02/19/2013 14:08:10 1 669330 0.25000 run8 bishopj qw 02/19/2013 14:08:11 1 669331 0.25000 run9 bishopj qw 02/19/2013 14:08:12 1 669332 0.25000 run10 bishopj qw 02/19/2013 14:08:13 1 669333 0.25000 run11 bishopj qw 02/19/2013 14:08:14 1 669334 0.25000 run12 bishopj qw 02/19/2013 14:08:16 1 669335 0.25000 run13 bishopj qw 02/19/2013 14:08:17 1 669336 0.25000 run14 bishopj qw 02/19/2013 14:08:18 1 669337 0.25000 run15 bishopj qw 02/19/2013 14:08:19 1 669338 0.25000 run16 bishopj qw 02/19/2013 14:08:20 1 669339 0.25000 run17 bishopj qw 02/19/2013 14:08:22 1 669340 0.25000 run18 bishopj qw 02/19/2013 14:08:23 1 669341 0.25000 run19 bishopj qw 02/19/2013 14:08:24 1 669342 0.00000 run20 bishopj qw 02/19/2013 14:08:25 1
bishopj@corn08:/mnt/glusterfs/bishopj/mattest/run1$ cat job.out Warning: No display specified. You will not be able to display graphics on the screen. Warning: No window system found. Java option 'MWT' ignored. < M A T L A B (R) > Copyright 1984-2012 The MathWorks, Inc. R2012b (8.0.0.783) 64-bit (glnxa64) August 22, 2012 To get started, type one of these: helpwin, helpdesk, or demo. For product information, visit www.mathworks.com. >> >> S0 = 1000 >> mu = 0.0500 >> sigma = 0.1200 >> T = 10 >> nb_traj = 100 >> step = 0.0039 >> >> >> >> >> >> >>
/mnt/glusterfs/bishopj/mattest/run1$ ls -tlr
total 1864
-rw-r--r-- 1 bishopj root 191 Feb 19 14:08 run.submit
-rw-r--r-- 1 bishopj root 473 Feb 19 14:08 run.m
-rw-r--r-- 1 bishopj root 52 Feb 19 14:08 job.error
-rw-r--r-- 1 bishopj root 1889160 Feb 19 14:08 mydata.mat
-rw-r--r-- 1 bishopj root 635 Feb 19 14:08 job.out
</source>
bishopj@corn08:/mnt/glusterfs/bishopj/mattest/run18$ matlab -nodesktop Warning: No display specified. You will not be able to display graphics on the screen. Warning: No window system found. Java option 'MWT' ignored. < M A T L A B (R) > Copyright 1984-2012 The MathWorks, Inc. R2012b (8.0.0.783) 64-bit (glnxa64) August 22, 2012 No window system found. Java option 'MWT' ignored. To get started, type one of these: helpwin, helpdesk, or demo. For product information, visit www.mathworks.com. >> disp mydata mydata >> load mydata >> disp mydata mydata >> show mydata Undefined function 'show' for input arguments of type 'char'. >> whos Name Size Bytes Class Attributes S 5101x100 4080800 double t 5101x1 40808 double >> whos -file mydata Name Size Bytes Class Attributes S 5101x100 4080800 double t 5101x1 40808 double >>
bishopj@corn15:/mnt/glusterfs/bishopj/mattest/run18$ cat run.m S0 = 1000 mu = 0.090000 sigma = .12 T = 20 nb_traj = 100 step = 1/255 [S, t] = simplest_montecarlo0( sigma, T, nb_traj, S0, mu, step); listOfVariables = {'S', 't'}; save('run18/mydata.mat', listOfVariables{:}); mcplot = figure('Color',[0.9412 0.9412 0.9412 ]); plot(t,S, 'linewidth',2); axis([t(1) t(end) min(S(:)) max(S(:))]); xlabel('time');ylabel('value'); title(sprintf('%d trajectories', size(S,2))); print(mcplot,'-dpng','run18/figure.png')
bishopj@corn15:/mnt/glusterfs/bishopj/mattest/run18$ cat run.submit #$ -N run18 #$ -o run18/job.out #$ -e run18/job.error #$ -cwd #$ -S /bin/bash #$ -l testq=1 /mnt/glusterfs/software/non-free/MATLAB-R2012b/bin/matlab -nodesktop -singleCompThread < run18/run.m
