[MATH-1597] Refactor low-discrepancy sequence functionality

• Type: Improvement
• Status: Open
• Priority: Minor
• Resolution: Unresolved
• Fix Version/s: 4.X
• Assignee: Unassigned
• Reporter: Gilles Sadowski
• Created: 31/May/21 00:34
• Updated: 04/Feb/22 08:57

Description

Two low-discrepancy sequences are implemented in Commons Math (in package o.a.c.math4.legacy.random:

• SobolSequenceGenerator
• HaltonSequenceGenerator

They both provide several methods:

• nextVector()
• skipTo(int)
• getNextIndex()

of which only the first is part of their common API through the RandomVectorGenerator.

I propose to create an interface that would better represent the specific concept (and avoid the confusion with pseudo-random generators):

public interface LowDiscrepancySequence extends Supplier<double[]> { /* ... */}

Thus, instead of class SobolSequenceGenerator we'd have:

public class SobolSequence implements LowDiscrepancySequence {
    // ...
}

This functionality could be moved to a new o.a.c.m.legacy.quasirandom package .

Method skipTo could be replaced with an API similar to Commons RNG JumpableUniformRandomProvider .

The new design (TBD on the "dev" ML) should ideally take additional implementations into account.

Issue Links

• links to: PR