Details

    • Type: New Feature New Feature
    • Status: Resolved
    • Priority: Major Major
    • Resolution: Fixed
    • Affects Version/s: None
    • Fix Version/s: 3.3
    • Labels:
      None

      Description

      Another low-discrepancy sequence generator which is used by Monte-Carlo methods.

        Activity

        Hide
        Thomas Neidhart added a comment -

        Attached an implementation of a HaltonSequenceGenerator. The generator already comes with support for up to 40 dimensions (using the first 40 primes) and performs scrambling as described in the referenced dissertation, using the optimal weight values.

        Subclasses may override the scrambling method, and users can also provide their own base/weight numbers to support larger dimensions.

        CM already has a class SmallPrimes which contains the first 512 prime numbers, which could be reused here, but as the class is package private it is not accessible, TBD.

        Show
        Thomas Neidhart added a comment - Attached an implementation of a HaltonSequenceGenerator. The generator already comes with support for up to 40 dimensions (using the first 40 primes) and performs scrambling as described in the referenced dissertation, using the optimal weight values. Subclasses may override the scrambling method, and users can also provide their own base/weight numbers to support larger dimensions. CM already has a class SmallPrimes which contains the first 512 prime numbers, which could be reused here, but as the class is package private it is not accessible, TBD.
        Hide
        Thomas Neidhart added a comment -

        Added implementation in r1485346. Still missing a unit test, I am working on an algorithm to compute the Star Discrepancy.

        Show
        Thomas Neidhart added a comment - Added implementation in r1485346. Still missing a unit test, I am working on an algorithm to compute the Star Discrepancy.
        Hide
        Thomas Neidhart added a comment -

        Added test, resolving for now.

        Show
        Thomas Neidhart added a comment - Added test, resolving for now.

          People

          • Assignee:
            Unassigned
            Reporter:
            Thomas Neidhart
          • Votes:
            0 Vote for this issue
            Watchers:
            0 Start watching this issue

            Dates

            • Created:
              Updated:
              Resolved:

              Development