genVecQMC: Generating vectors for lattice rules

Description Usage Arguments Details Value Examples

Description

Compute an efficient generating vector for quasi-Monte Carlo estimation.

Usage

1
genVecQMC(p, d, bt = rep(1, d), gm = c(1, (4/5)^(0:(d - 2))))

Arguments

p

Prime number corresponding to the number of samples to use in the quasi-Monte Carlo procedure.

d

Dimension of the multivariate integral to estimate.

bt

Tuning parameter for finding the vector. See D. Nuyens and R. Cools (2004) for more details.

gm

Tuning parameter for finding the vector. See D. Nuyens and R. Cools (2004) for more details.

Details

The function computes a generating vector for efficient multivariate integral estimation based on D. Nuyens and R. Cools (2004).

Value

primeP, the highest prime number smaller than p and genVec, a d-dimensional generating vector defining an efficient lattice rule for primeP samples.

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
#Define the number of sample.
p <- 500

#Choose a dimension
d <- 300

#Compute the generating vector
latticeRule <- genVecQMC(p,d)

print(latticeRule$primeP)
print(latticeRule$genVec)


Search within the mvPot package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.