FaureRsg Class Reference
#include <ql/math/randomnumbers/faurersg.hpp>
Detailed Description
Faure low-discrepancy sequence generator.It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.
- E. Thiemard Economic generation of low-discrepancy sequences with a b-ary gray code.
- 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_type & | nextSequence () const |
const sample_type & | lastSequence () const |
Size | dimension () const |