org.hipparchus.random

Class SobolSequenceGenerator

java.lang.Object

org.hipparchus.random.SobolSequenceGenerator

All Implemented Interfaces:

RandomVectorGenerator

public class SobolSequenceGenerator
extends Object
implements RandomVectorGenerator

Implementation of a Sobol sequence.

A Sobol sequence is a low-discrepancy sequence with the property that for all values of N, its subsequence (x1, ... xN) has a low discrepancy. It can be used to generate pseudo-random points in a space S, which are equi-distributed.

The implementation already comes with support for up to 1000 dimensions with direction numbers calculated from Stephen Joe and Frances Kuo.

The generator supports two modes:

• sequential generation of points: nextVector()
• random access to the i-th point in the sequence: skipTo(int)

See Also:

Sobol sequence (Wikipedia), Sobol sequence direction numbers

Constructor Summary

Constructors

Constructor and Description
SobolSequenceGenerator(int dimension) Construct a new Sobol sequence generator for the given space dimension.
SobolSequenceGenerator(int dimension, InputStream is) Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.

Method Summary

Modifier and Type	Method and Description
int	getNextIndex() Returns the index i of the next point in the Sobol sequence that will be returned by calling nextVector().
double[]	nextVector() Generate a random vector.
double[]	skipTo(int index) Skip to the i-th point in the Sobol sequence.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SobolSequenceGenerator

public SobolSequenceGenerator(int dimension)
                       throws MathIllegalArgumentException

Construct a new Sobol sequence generator for the given space dimension.

Parameters:

dimension - the space dimension

Throws:

MathIllegalArgumentException - if the space dimension is outside the allowed range of [1, 1000]

SobolSequenceGenerator

public SobolSequenceGenerator(int dimension,
                              InputStream is)
                       throws MathIllegalArgumentException,
                              MathIllegalStateException,
                              IOException

Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.

The expected format is identical to the files available from Stephen Joe and Frances Kuo. The first line will be ignored as it is assumed to contain only the column headers. The columns are:

• d: the dimension
• s: the degree of the primitive polynomial
• a: the number representing the coefficients
• m: the list of initial direction numbers

Example:

 d       s       a       m_i
 2       1       0       1
 3       2       1       1 3
 

The input stream must be an ASCII text containing one valid direction vector per line.

Parameters:

dimension - the space dimension

is - the stream to read the direction vectors from

Throws:

MathIllegalArgumentException - if the space dimension is < 1

MathIllegalArgumentException - if the space dimension is outside the range [1, max], where max refers to the maximum dimension found in the input stream

MathIllegalStateException - if the content in the stream could not be parsed successfully

IOException - if an error occurs while reading from the input stream

Method Detail

nextVector

public double[] nextVector()

Generate a random vector.

Specified by:

nextVector in interface RandomVectorGenerator

Returns:

a random vector as an array of double.

skipTo

public double[] skipTo(int index)
                throws MathIllegalArgumentException

Skip to the i-th point in the Sobol sequence.

This operation can be performed in O(1).

Parameters:

index - the index in the sequence to skip to

Returns:

the i-th point in the Sobol sequence

Throws:

MathIllegalArgumentException - if index < 0

getNextIndex

public int getNextIndex()

Returns the index i of the next point in the Sobol sequence that will be returned by calling nextVector().

Returns:

the index of the next point