Paul Bratley
Abstract
We compare empirically accuracy and speed of low-discrepancy sequence generators of Sobol' and Faure. These generators are useful for multidimensional integration and global optimization. We discuss our implementation of the Sobol' generator.
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Sobol's quasirandom sequence generator for multivariate quadrature and optimization Gams: G2i,H2c
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Index Terms
Algorithm 659: Implementing Sobol's quasirandom sequence generator
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