Sobol
Concise implementation of the Sobol sequence for generating low-discrepancy quasi-random numbers in up to 1111 dimensions.
Note: scipy>=1.7
features a qmc module with a better Sobol implementation.
Install
pip install sobolsequence
Usage
import sobol
sobol.sample(dimension=3, n_points=5)
array([[0.5 , 0.5 , 0.5 ],
[0.75 , 0.25 , 0.75 ],
[0.25 , 0.75 , 0.25 ],
[0.375, 0.375, 0.625],
[0.875, 0.875, 0.125]])
Skip the first n
points:
sobol.sample(dimension=3, n_points=5, skip=10000)
Sample point by point using the underlying generator:
sob = sobol.generator(dimension=5)
for i in range(10):
print(next(sob))
References
This implementation is based on the Python version by Corrado Chisari available here.
- Antonov, Saleev, USSR Computational Mathematics and Mathematical Physics, Volume 19, 1980, pages 252 - 256.
- Paul Bratley, Bennett Fox, Algorithm 659: Implementing Sobol's Quasirandom Sequence Generator, ACM Transactions on Mathematical Software, Volume 14, Number 1, pages 88-100, 1988.
- Bennett Fox, Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators, ACM Transactions on Mathematical Software, Volume 12, Number 4, pages 362-376, 1986.
- Ilya Sobol, USSR Computational Mathematics and Mathematical Physics, Volume 16, pages 236-242, 1977.
- Ilya Sobol, Levitan, The Production of Points Uniformly Distributed in a Multidimensional Cube (in Russian), Preprint IPM Akad. Nauk SSSR, Number 40, Moscow 1976.
The direction numbers from Joe and Kuo are available here.
- Stephen Joe and Frances Kuo, Remark on Algorithm 659: Implementing Sobol's quasirandom sequence generator, ACM Trans. Math. Softw. 29, 49-57 (2003), http://doi.acm.org/10.1145/641876.641879
- Stephen Joe and Frances Kuo, Constructing Sobol sequences with better two-dimensional projections, SIAM J. Sci. Comput. 30, 2635-2654 (2008), https://doi.org/10.1137/070709359