Deep Learning for Numerical Applications with SAS

Chapter 7: Monte Carlo Simulations with Deep Learning

Generating Data

Training Data

Testing Data

Training the Network

Inference Using the Network

Performance Summary

Other Examples

Pricing of American Options

Pricing of Variable Annuities Contracts

Conclusion

 

In this chapter, we revisit the random walk example that we introduced in Chapter 5. Our goal is to significantly improve the performance of Monte Carlo simulations by using a trained artificial neural network (ANN) to approximate the results of the Monte Carlo simulations.

The example that we are trying to solve is straightforward: given a number of steps of a random walk, estimate the distance from the origin.

Generating Data

For the purpose of this book, we confine ourselves to random ...