jburkardt

SOBOL_DATASET\ Generate Sobol Datasets {#sobol_dataset-generate-sobol-datasets align=”center”} =======================


SOBOL_DATASET is a C++ program which creates a Sobol dataset.

Usage: {#usage align=”center”}

sobol_dataset m n skip

where

The data is written to the file sobol_m_n.txt.

Licensing: {#licensing align=”center”}

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages: {#languages align=”center”}

SOBOL_DATASET is available in a C++ version and a FORTRAN90 version and a MATLAB version.

FAURE_DATASET, a C++ program which creates a Faure quasirandom dataset;

GRID_DATASET, a C++ program which creates a grid sequence and writes it to a file.

LATIN_CENTER_DATASET, a C++ program which creates a Latin Center Hypercube dataset;

LATIN_EDGE_DATASET, a C++ program which creates a Latin Edge Hypercube dataset;

LATIN_RANDOM_DATASET, a C++ program which creates a Latin Random Hypercube dataset;

NIEDERREITER2_DATASET, a C++ program which creates a Niederreiter quasirandom dataset with base 2;

NORMAL_DATASET, a C++ program which generates a dataset of multivariate normal pseudorandom values and writes them to a file.

SOBOL, a dataset directory which contains sample Sobol datasets created by SOBOL_DATASET.

SOBOL, a C++ library which computes elements of a Sobol quasirandom sequence.

UNIFORM_DATASET, a C++ program which generates a dataset of multivariate uniform pseudorandom values and writes them to a file.

VAN_DER_CORPUT_DATASET, a C++ program which creates a van der Corput quasirandom sequence and writes it to a file.

Reference: {#reference align=”center”}

  1. IA Antonov, VM Saleev,\ An Economic Method of Computing LP Tau-Sequences,\ USSR Computational Mathematics and Mathematical Physics,\ Volume 19, 1980, pages 252 - 256.
  2. Paul Bratley, Bennett Fox,\ Algorithm 659: Implementing Sobol’s Quasirandom Sequence Generator,\ ACM Transactions on Mathematical Software,\ Volume 14, Number 1, pages 88-100, 1988.
  3. Paul Bratley, Bennett Fox, Linus Schrage,\ A Guide to Simulation,\ Springer Verlag, pages 201-202, 1983.
  4. Paul Bratley, Bennett Fox, Harald Niederreiter,\ Implementation and Tests of Low Discrepancy Sequences,\ ACM Transactions on Modeling and Computer Simulation,\ Volume 2, Number 3, pages 195-213, 1992.
  5. Bennett Fox,\ Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators,\ ACM Transactions on Mathematical Software,\ Volume 12, Number 4, pages 362-376, 1986.
  6. Harald Niederreiter,\ Random Number Generation and quasi-Monte Carlo Methods,\ SIAM, 1992.
  7. William Press, Brian Flannery, Saul Teukolsky, William Vetterling,\ Numerical Recipes: The Art of Scientific Computing,\ Cambridge University Press.
  8. Ilya Sobol,\ USSR Computational Mathematics and Mathematical Physics,\ Volume 16, pages 236-242, 1977.
  9. Ilya Sobol, Levitan,\ The Production of Points Uniformly Distributed in a Multidimensional Cube (in Russian),\ Preprint IPM Akad. Nauk SSSR,\ Number 40, Moscow 1976.

Source Code: {#source-code align=”center”}

Examples and Tests: {#examples-and-tests align=”center”}

List of Routines: {#list-of-routines align=”center”}

You can go up one level to the C++ source codes.


Last revised on 30 August 2005.