RandomizedLDS< LDS, PRS > Class Template Reference

Randomized (random shift) low-discrepancy sequence. More...

#include <ql/math/randomnumbers/randomizedlds.hpp>

Public Types
typedef Sample< std::vector< Real > >	sample_type

Public Member Functions
	RandomizedLDS (const LDS &ldsg, PRS prsg)
	RandomizedLDS (const LDS &ldsg)
	RandomizedLDS (Size dimensionality, BigNatural ldsSeed=0, BigNatural prsSeed=0)
const sample_type &	nextSequence () const
	returns next sample using a given randomizing vector
const sample_type &	lastSequence () const
void	nextRandomizer ()
Size	dimension () const

Detailed Description

template<class LDS, class PRS = RandomSequenceGenerator<MersenneTwisterUniformRng>>
class QuantLib::RandomizedLDS< LDS, PRS >

Randomized (random shift) low-discrepancy sequence.

Random-shifts a uniform low-discrepancy sequence of dimension \( N \) by adding (modulo 1 for each coordinate) a pseudo-random uniform deviate in \( (0, 1)^N. \) It is used for implementing Randomized Quasi Monte Carlo.

The uniform low discrepancy sequence is supplied by LDS; the uniform pseudo-random sequence is supplied by PRS.

Both class LDS and PRS must implement the following interface:

LDS::sample_type LDS::nextSequence() const;
Size LDS::dimension() const;

Precondition

LDS and PRS must have the same dimension \( N \)

Warning

Inverting LDS and PRS is possible, but it doesn't make sense.

Tests

correct initialization is tested.

Member Function Documentation

nextRandomizer()

template<class LDS, class PRS = RandomSequenceGenerator<MersenneTwisterUniformRng>>

void nextRandomizer

(

)

update the randomizing vector and re-initialize the low discrepancy generator