Ziggurat
Locked
 
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Hi,
Has anyone considered coding the Ziggurat in a way that is not locked to the MersenneTwisterUniformRng type? If one uses a Low discrepancy generator; does it have the same problems as the Box-Muller algorithm? And then, could one make use of and eventual jumpAhead(n) provided by the uniform generator to jumpAhead the Ziggurat sampler? Best Pepe ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Pepe,
Yes it has the same problems as it is based on acceptance rejection if I remember correctly. So the Ziggurat only works with pseudo random number generators. Fabien On 06/14/2012 12:02 PM, [hidden email] wrote: > Hi, > Has anyone considered coding the Ziggurat in a way that is not locked to the MersenneTwisterUniformRng type? > If one uses a Low discrepancy generator; does it have the same problems as the > Box-Muller algorithm? > And then, could one make use of and eventual jumpAhead(n) provided by the uniform generator to jumpAhead the Ziggurat sampler? > Best > Pepe > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Domage,
I might play with the other points though. Merci ----- Mail original ----- De: "Fabien Le Floc'h" <[hidden email]> À: [hidden email] Envoyé: Vendredi 15 Juin 2012 10:30:54 Objet: Re: [Quantlib-users] Ziggurat Hi Pepe, Yes it has the same problems as it is based on acceptance rejection if I remember correctly. So the Ziggurat only works with pseudo random number generators. Fabien On 06/14/2012 12:02 PM, [hidden email] wrote: > Hi, > Has anyone considered coding the Ziggurat in a way that is not locked to the MersenneTwisterUniformRng type? > If one uses a Low discrepancy generator; does it have the same problems as the > Box-Muller algorithm? > And then, could one make use of and eventual jumpAhead(n) provided by the uniform generator to jumpAhead the Ziggurat sampler? > Best > Pepe > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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