dimension (3) - Linux Manuals

dimension: Faure low-discrepancy sequence generator.

NAME

QuantLib::FaureRsg - Faure low-discrepancy sequence generator.

SYNOPSIS

#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

Detailed Description

Faure low-discrepancy sequence generator.

It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.

1.

E. Thiemard Economic generation of low-discrepancy sequences with a b-ary gray code.

2.

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.

Author

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