Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jun 11

Sobol sequence generator

Posted by abiao at 20:02 | Code » C++ | Comments(0) | Reads(14491)
Sobol sequence has been shared at posts Sobol and Generalised Faure sequences, halton and sobol sequences, and Primitive polynomials for Sobol sequences, respectively. Please read Low-discrepancy sequence at Wikipedia for introduction.

Here is another Sobol sequence generator containing the primitive polynomials and various sets of initial direction numbers for generating Sobol sequences. The reason I open a new post for it is it is able to support up to dimension 15000, incredible. Check it out at http://web.maths.unsw.edu.au/~fkuo/sobol/index.html.

Tags: ,
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]