sobol.cc

Remark on algorithm 659: Implementing Sobol’s quasirandom sequence generator. An algorithm to generate Sobol’ sequences to approximate integrals in up to 40 dimensions has been previously given by Bratley and Fox in Algorithm 659. Here, we provide more primitive polynomials and “direction numbers” so as to allow the generation of Sobol’ sequences to approximate integrals in up to 1111 dimensions. The direction numbers given generate Sobol’ sequences that satisfy Sobol’s so-called Property A.


References in zbMATH (referenced in 65 articles , 2 standard articles )

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  1. Herath, Sumudu: Multiscale modelling and material design of woven textiles using Gaussian processes (2022)
  2. He, Zhijian: Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo (2022)
  3. Atanassov, Emanouil; Ivanovska, Sofiya; Karaivanova, Aneta: Optimization of the direction numbers of the Sobol sequences (2021)
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  9. Plischke, Elmar; Rabitti, Giovanni; Borgonovo, Emanuele: Computing Shapley effects for sensitivity analysis (2021)
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  11. Shinozaki, Yuji: Efficient simulation methods for the quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (2021)
  12. Bigoni, Caterina; Zhang, Zhenying; Hesthaven, Jan S.: Systematic sensor placement for structural anomaly detection in the absence of damaged states (2020)
  13. Hoyt, Christopher R.; Owen, Art B.: Mean dimension of ridge functions (2020)
  14. Leövey, H.; Römisch, W.: Randomized QMC methods for mixed-integer two-stage stochastic programs with application to electricity optimization (2020)
  15. Litvinenko, Alexander; Logashenko, Dmitry; Tempone, Raul; Wittum, Gabriel; Keyes, David: Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability (2020)
  16. Marion, Pierre; Godin, Maxime; L’Ecuyer, Pierre: An algorithm to compute the (t)-value of a digital net and of its projections (2020)
  17. Polala, Arun Kumar; Ökten, Giray: Implementing de-biased estimators using mixed sequences (2020)
  18. van Appel, Jacques; McWalter, Thomas A.: Moment approximations of displaced forward-LIBOR rates with application to swaptions (2020)
  19. Zhigljavsky, Anatoly; Noonan, Jack: Covering of high-dimensional cubes and quantization (2020)
  20. Bayousef, Manal; Mascagni, Michael: A computational investigation of the optimal Halton sequence in QMC applications (2019)

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