(50G) Quasi Monte Carlo Halton Sequence Programme - Printable Version +- HP Forums (https://www.hpmuseum.org/forum) +-- Forum: HP Software Libraries (/forum-10.html) +--- Forum: General Software Library (/forum-13.html) +--- Thread: (50G) Quasi Monte Carlo Halton Sequence Programme (/thread-7660.html) |
(50G) Quasi Monte Carlo Halton Sequence Programme - Gerald H - 01-26-2017 06:29 AM Edit 2017-01-28: Names of variables in documentation updated to conform to programme. This group of programmes generates a Quasi- Monte Carlo series of D-dimension Halton sequence vectors. The problem with (quasi) random number generators is they clump: Monte Carlo sequences don't. QMC is useful in, eg https://en.wikipedia.org/wiki/Quasi-Monte_Carlo_method Halton sequence ref: https://en.wikipedia.org/wiki/Halton_sequence DINIT stores the vector dimension in D, NINIT a precision parameter in N & ‡INIT a list of primes in ‡LIST. D must be =< length of ‡LIST. N is the maximum ordinality of the series. QMCSeed takes an integer input fixing the index in the series & sets Qij & Dij, two lists of lists of parameters, & x,the current Halton sequence vector. QMC takes no input & returns the next vector in the series, also stored in x. Code:
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