Algorithm 659: Implementing Sobol's quasirandom sequence generator

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.

References

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Index Terms

• Computing methodologies

  • Modeling and simulation

    • Model development and analysis

      • Model verification and validation

• Mathematics of computing

  • Mathematical analysis

    • Differential equations

      • Ordinary differential equations

    • Numerical analysis

      • Numerical differentiation

    • Quadrature

  • Mathematical software