This video shows how to use some of our extension to quickly code a PI calculation with Monte-Carlo simulation inside Excel with Tsunami F# scripting. In this example we use Sobol sequence.

Here is the test code:

[sourcecode language=”fsharp”]

#r @”C:\Users\Xiang\Documents\FCell\Alea.CUDA.dll”

#r @”C:\Users\Xiang\Documents\FCell\Alea.CUDA.Extension.dll”

#r @”C:\Users\Xiang\Documents\FCell\FCell.ManagedXll.dll”

namespace Demo

open Alea.CUDA

open Alea.CUDA.Extension

open FCell.ManagedXll

module UDF =

[<XlConverter>]

let exc (e:exn) = XlScalar(XlString(e.Message))

let private worker = Engine.workers.DefaultWorker

let private sobol = worker.LoadPModule(PRandom.sobol <@ Sobol.toFloat64 @>).Invoke

let private sum = worker.LoadPModule(PArray.sum()).Invoke

let private map =

let transform =

<@ fun (x:float) (y:float) ->

let x = x – 0.5

let y = y – 0.5

let distance = sqrt(x * x + y * y)

match distance with

| distance when distance <= 0.5 -> 1.0

| _ -> 0.0 @>

worker.LoadPModule(PArray.map2 transform).Invoke

let private calc samples = pcalc {

let dimensions = 2

let vectors = samples

let! numbers = sobol dimensions vectors 0

let x = DArray.subView numbers 0 samples

let y = DArray.subView numbers samples samples

let! insides = map x y

let! inside = sum insides

let! inside = inside.Gather()

let total = float(samples)

return inside / total / 0.25 }

let CalcPI samples = calc samples |> PCalc.run

[/sourcecode]