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Remark on algorithm 659: Implementing Sobol's quasirandom sequence generator

Authors:

Stephen Joe,

Frances Y. KuoAuthors Info & Claims

ACM Transactions on Mathematical Software (TOMS), Volume 29, Issue 1

Pages 49 - 57

https://doi.org/10.1145/641876.641879

Published: 01 March 2003 Publication History

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Abstract

An algorithm to generate Sobol' sequences to approximate integrals in up to 40 dimensions has been previously given by Bratley and Fox in Algorithm 659. Here, we provide more primitive polynomials and "direction numbers" so as to allow the generation of Sobol' sequences to approximate integrals in up to 1111 dimensions. The direction numbers given generate Sobol' sequences that satisfy Sobol's so-called Property A.

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Index Terms

Remark on algorithm 659: Implementing Sobol's quasirandom sequence generator
1. Mathematics of computing
  1. Mathematical analysis
    1. Quadrature

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cover image ACM Transactions on Mathematical Software

ACM Transactions on Mathematical Software Volume 29, Issue 1

March 2003

94 pages

ISSN:0098-3500

EISSN:1557-7295

DOI:10.1145/641876

Issue’s Table of Contents

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Published: 01 March 2003

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Implementation and tests of low-discrepancy sequences

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Computational investigations of low-discrepancy sequences

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