sobol-test-func: Some test functions for Sobol sequences

In randtoolbox: Toolbox for Pseudo and Quasi Random Number Generation and Random Generator Tests

Some test functions for Sobol sequences

Description

Some test functions for Sobol sequences

Usage

sobol.R(n, d, echo=FALSE)

int2bit(x)
bit2int(x)
bit2unitreal(x)

Arguments

n	number of observations.
d	dimension of observations.
echo	a logical to show some traces.
x	an integer to convert in base 2 or its binary representation

Details

sobol.R computes Sobol sequences but not using Gray code so points are not in the same order as in sobol.

sobol.basic compute the Sobol sequence in one dimension according to a primitive polynomial and specified integers m_j.

int2bit computes the binary representation of the integer part of a real, bit2int computes an integer from its binary representation. bit2unitreal computes the radical inverse function in base 2.

Value

a vector of length n or a matrix for sobol.R.

Author(s)

Christophe Dutang

References

Glasserman P., (2003); Monte Carlo Methods in Financial Engineering, Springer. doi: 10.1007/978-0-387-21617-1

See Also

quasiRNG for quasi random number generation.

Examples

#page 306 of Glassermann
sobol.R(10,2)

randtoolbox documentation built on Jan. 29, 2023, 3:02 a.m.