http://quantlib.414.s1.nabble.com/Sobol-s-Low-discrepency-sequence-tp5905p5908.html
orderings. One of the original papers (Bratley Fox) used a non-obvious
> Thanks Mark.
>
> Could you please point me to a paper/book that explains the ordering for the polynomials used in QuantLib?
>
> Regards,
> Fabrice
>
> -----Original Message-----
> From: Luigi Ballabio [mailto:
[hidden email]]
> Sent: Monday, 24 March 2008 11:51 PM
> To: Lecuyer, Fabrice; Mark joshi
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] Sobol's Low discrepency sequence
>
>
> 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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