Slides from my MC talk at the C++ User Group, St.Petersburg, Russia, June 2014

1. Monte Carlo Methods
a case study
Dmitri Nesteruk
dmitrinesteruk@gmail.com

2. Hi!
• My name is Dmitri
• Quant finance
• Developer Evangelist @ JetBrains (2010-…)
• Visiting Researcher @
University of Southampton (2002-…)
• MVP Visual C# (2009-…)

3. Calculation of 𝜋𝜋
• Generate lots of points in
square
• Area of circle
𝜋𝜋𝑟𝑟2
• Area of square
4𝑟𝑟2
• ∴ 𝜋𝜋 = 4
𝑆𝑆𝑐𝑐𝑐𝑐𝑐𝑐 𝑐𝑐𝑐𝑐𝑐𝑐
𝑆𝑆𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠
• Area ~ number of points
r

5. � 𝑒𝑒 𝑥𝑥2

6. 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0
2
4
6
8
10
12
14
16
18

7. Poker (is largely bots  )

8. AH 7S
? ?
AS KH TC
try every single combination
6
C
6
D
win
win
loss
loss
loss
AH 7S
40% to win

9. Challenging (&geeky) games for heavy MC

10. HearthStone
• ~400 differentcards
• Player pick a deck of 30
• Each card has stationary and transient behaviors
• May affect 0, 1 or several other cards

11. Rules
• Stored in an XML file
• Parsed via boost::regex
• Result in creation of std::function objects

12. Everything affects everything
• This card gives bonus to other card
• When card enters play, …
• When card leaves play, …
• This interaction method does not map well to OOP

13. Properties
• Properties are built-in in C#, not available in C++ or Java
• __declspec(property) compiler extension
• Supported on at least Intel and MSVC compilers
• A person structure keeps the person’s age
• Age (read/write)
• Only people older than 16 can vote
• CanVote (readonly)
• This is a derivative property (at runtime you need an std::function)

14. Change notifications
• We want to be informed when properties change
• Use boost::signals
• Let’s borrow .NET ideology!

15. Event Bus
• Global communication pipeline
• Entity signs up when enters game, disconnects on exit
• Also uses signal/slot paradigm

16. Realtime Analysis
• The game uses Unity
• Decompiled .NET libs
• Reverse-engineerProtocol Buffer definitions
• …
• PROFIT!!!

17. Packet Capture
• Winpcap
• Capture game state
• Reanalyze at each significant change

18. Architecture
• Intel C++
• >10k Xeon cores
• 24x Intel Xeon Phi

19. That’s it!
• Monte-Carlo Methods in
Financial Engineering, Paul
Glasserman, Springer
• Boost
http://boost.org
• Course on Boost at
http://pluralsight.com
• Send feedback to:
@dnesteruk
dmitrinesteruk@gmail.com