FaureRsg Class Reference

#include <ql/math/randomnumbers/faurersg.hpp>

List of all members.


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.


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_typenextSequence () const
const sample_typelastSequence () const
Size dimension () const