Last Change: 2018-09-07, 16:50
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FaureRsg − Faure low-discrepancy sequence generator.
#include <ql/math/randomnumbers/faurersg.hpp>
Public Types
typedef Sample< std::vector< Real > > sample_type
Public Member Functions
FaureRsg (Size dimensionality)
const std::vector< long int > & nextIntSequence () const
const std::vector< long int > & lastIntSequence () const
const sample_type & nextSequence () const
const sample_type & lastSequence () const
Size dimension () const
Faure low-discrepancy sequence generator.
It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.
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E. Thiemard Economic generation of low-discrepancy sequences with a b-ary gray code. |
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Algorithms 659, 647. http://www.netlib.org/toms/647, http://www.netlib.org/toms/659 |
Tests
the correctness of the returned values is tested by reproducing known good values.
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