SOBOL_DATASET
Generate Sobol Datasets


SOBOL_DATASET is a MATLAB program which creates a Sobol dataset.

Usage:

r = sobol_dataset ( m, n, skip )
where The data is written to the file sobol_m_n.txt.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

SOBOL_DATASET is available in a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

FAURE_DATASET, a MATLAB program which creates a Faure quasirandom dataset;

GRID_DATASET, a MATLAB program which creates a grid sequence and writes it to a file.

LATIN_CENTER_DATASET, a MATLAB program which creates a Latin Center Hypercube dataset;

LATIN_EDGE_DATASET, a MATLAB program which creates a Latin Edge Hypercube dataset;

LATIN_RANDOM_DATASET, a MATLAB program which creates a Latin Random Hypercube dataset;

NIEDERREITER2_DATASET, a MATLAB program which creates a Niederreiter quasirandom dataset with base 2;

NORMAL_DATASET, a MATLAB program which generates a dataset of multivariate normal pseudorandom values and writes them to a file.

SOBOL, a dataset directory which contains sample Sobol datasets created by SOBOL_DATASET.

SOBOL, a MATLAB library which computes elements of a Sobol quasirandom sequence.

UNIFORM_DATASET, a MATLAB program which generates a dataset of multivariate uniform pseudorandom values and writes them to a file.

VAN_DER_CORPUT_DATASET, a MATLAB program which creates a van der Corput quasirandom sequence and writes it to a file.

Reference:

  1. IA Antonov, VM Saleev,
    An Economic Method of Computing LP Tau-Sequences,
    USSR Computational Mathematics and Mathematical Physics,
    Volume 19, 1980, pages 252 - 256.
  2. 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.
  3. Paul Bratley, Bennett Fox, Linus Schrage,
    A Guide to Simulation,
    Springer Verlag, pages 201-202, 1983.
  4. Paul Bratley, Bennett Fox, Harald Niederreiter,
    Implementation and Tests of Low Discrepancy Sequences,
    ACM Transactions on Modeling and Computer Simulation,
    Volume 2, Number 3, pages 195-213, 1992.
  5. 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.
  6. Harald Niederreiter,
    Random Number Generation and quasi-Monte Carlo Methods,
    SIAM, 1992.
  7. William Press, Brian Flannery, Saul Teukolsky, William Vetterling,
    Numerical Recipes: The Art of Scientific Computing,
    Cambridge University Press.
  8. Ilya Sobol,
    USSR Computational Mathematics and Mathematical Physics,
    Volume 16, pages 236-242, 1977.
  9. Ilya Sobol, Levitan,
    The Production of Points Uniformly Distributed in a Multidimensional Cube (in Russian),
    Preprint IPM Akad. Nauk SSSR,
    Number 40, Moscow 1976.

Source Code:

Examples and Tests:

You can go up one level to the MATLAB source codes.


Last revised on 12 December 2009.