Change log

All notable changes to this project will be documented in this file.

The format is based on 'Keep a Changelog' and this project adheres to semantic versioning.

[2.0.0] — 2020-11-10

Added

  • Updating moment estimators in small batches (see MonteCarloIndex.eventGroupSize) (MR !15).

  • Asynchronous algorithms for single- and multi-level Monte Carlo methods (MR !16)

  • Estimation of 'combined' expectation (time and events) for random processes (MR !19)

  • Support for multi-valued (e.g. vectors) random variables (issue #31, MR !36)

  • Estimation of moments of order 3 and 4, with a posteriori estimation of statistical error (MR !36)

  • Examples, both built-in and using Kratos as external solver (MR !38)

  • Test cases

  • README (MR !33)

  • Changelog (MR !42)

  • New features of the Kratos interface:

    • different meshing strategies (support distributed environments)

    • write to file in distributed environments

Changed

  • Documentation re-created anew, from docstrings (MR !31, !32, !41)

  • The choice of framework for distributed computing is contained in a single module definition (issue #30, MR !30)

Fixed

  • Excessive memory usage in case of high number of estimators (MR !23).

Deprecated

Removed

[1.0.0] — 2019-05-31

Initial release.

Added

  • Single- and multi-level Monte Carlo estimation of expectation and variance of real-valued random variable

  • Adaptivity of number of samples and levels based on a posteriori error estimators

  • Stopping criterion based on a posteriori error estimators

  • Interface with external solver: Kratos

  • Parallelisation using the Python interface common to COMPSs and HyperLoom