Re: Sobol's Low discrepency sequence

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Sobol-s-Low-discrepency-sequence-tp5905p5906.html


On Mar 20, 2008, at 3:06 AM, Lecuyer, Fabrice wrote:

> I'm working through the implementation of the Sobol number generator
> in QuantLib and I've got two questions on which I would appreciate any
> insight you can give me:
>
> 1) At the top of the file sobolrsg.cpp a variable called
> AltPrimitivePolynomials is set up. This variable seems to just
> re-order some of the primitive polynomials (as compared to the order
> in primitivepolynomials.c). Is there a theoretical reason for doing
> this, i.e. does it improve some property of the numbers generated? I
> haven't seen this step described in any of the literature I have read
> on the method (e.g. Jäckel's book).
>
> 2) Do you have any feel for which method for initialising the free
> direction integers provides the best results?

On Mar 23, 2008, at 6:18 PM, Mark joshi wrote:

> There are two popular orderings for the polynomials in the literature.
> We need a variable to switch between the two.
>
> I reckon that JoeKuoD7 is the best.

[ Administrator note: to help keeping threads organized, when replying
to a post, please use an actual "reply" and keep the subject intact.
Thanks, Luigi ]


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