Update mlmc.py

piers-hinds · Apr 19, 2023 · dddafe2 · dddafe2
1 parent 6ef7e71
commit dddafe2
Showing 1 changed file with 4 additions and 4 deletions.
diff --git a/sde_mc/mlmc.py b/sde_mc/mlmc.py
@@ -59,8 +59,8 @@ def mc_multilevel(trials, levels, solver, payoff, discounter, bs=None):
  while trials_remaining > 0:
  next_batch_size = min(trials_remaining, bs[i + 1])
  (paths_fine, paths_coarse), _ = solver.multilevel_solve(next_batch_size, pair)
- terminals = discounter(solver.time_interval) * (payoff(paths_fine[:, pair[0]]) -
- payoff(paths_coarse[:, pair[1]]))
+ terminals = discounter(solver.time_interval) * (payoff(paths_fine[:, -1]) -
+ payoff(paths_coarse[:, -1]))
  run_sum += terminals.sum()
  run_sum_sq += (terminals * terminals).sum()
  trials_remaining -= next_batch_size
@@ -86,8 +86,8 @@ def get_optimal_trials(trials, levels, epsilon, solver, payoff, discounter):
 
  for i, pair in enumerate(pairs):
  (paths_fine, paths_coarse), _ = solver.multilevel_solve(trials, pair)
- terminals = discounter(solver.time_interval) * (payoff(paths_fine[:, pair[0]]) -
- payoff(paths_coarse[:, pair[1]]))
+ terminals = discounter(solver.time_interval) * (payoff(paths_fine[:, -1]) -
+ payoff(paths_coarse[:, -1]))
  vars[i + 1] = terminals.var()
 
  sum_term = (vars / step_sizes).sqrt().sum()