Package org.apache.commons.math4.random

Class SobolSequenceGenerator

java.lang.Object
org.apache.commons.math4.random.SobolSequenceGenerator
All Implemented Interfaces:
RandomVectorGenerator
public class SobolSequenceGenerator
extends java.lang.Object
implements RandomVectorGenerator
Implementation of a Sobol sequence.

A Sobol sequence is a low-discrepancy sequence with the property that for all values of N, its subsequence (x1, ... xN) has a low discrepancy. It can be used to generate pseudo-random points in a space S, which are equi-distributed.

The implementation already comes with support for up to 1000 dimensions with direction numbers calculated from Stephen Joe and Frances Kuo.

The generator supports two modes:

Since:
3.3
See Also:
Sobol sequence (Wikipedia), Sobol sequence direction numbers

  • Constructor Summary

    Constructors 
    Constructor Description
    SobolSequenceGenerator​(int dimension)
    Construct a new Sobol sequence generator for the given space dimension.
    SobolSequenceGenerator​(int dimension, java.io.InputStream is)
    Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.

  • Method Summary

    Modifier and Type Method Description
    int getNextIndex()
    Returns the index i of the next point in the Sobol sequence that will be returned by calling nextVector().
    double[] nextVector()
    Generate a random vector.
    double[] skipTo​(int index)
    Skip to the i-th point in the Sobol sequence.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • SobolSequenceGenerator

      public SobolSequenceGenerator​(int dimension) throws OutOfRangeException
      Construct a new Sobol sequence generator for the given space dimension.
      Parameters:
      dimension - the space dimension
      Throws:
      OutOfRangeException - if the space dimension is outside the allowed range of [1, 1000]

    • SobolSequenceGenerator

      public SobolSequenceGenerator​(int dimension, java.io.InputStream is) throws NotStrictlyPositiveException, MathParseException, java.io.IOException
      Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.

      The expected format is identical to the files available from Stephen Joe and Frances Kuo. The first line will be ignored as it is assumed to contain only the column headers. The columns are:

      • d: the dimension
      • s: the degree of the primitive polynomial
      • a: the number representing the coefficients
      • m: the list of initial direction numbers
      Example: 
       d       s       a       m_i
 2       1       0       1
 3       2       1       1 3

      The input stream must be an ASCII text containing one valid direction vector per line.

      Parameters:
      dimension - the space dimension
      is - the stream to read the direction vectors from
      Throws:
      NotStrictlyPositiveException - if the space dimension is < 1
      OutOfRangeException - if the space dimension is outside the range [1, max], where max refers to the maximum dimension found in the input stream
      MathParseException - if the content in the stream could not be parsed successfully
      java.io.IOException - if an error occurs while reading from the input stream

  • Method Details

    • nextVector

      public double[] nextVector()
      Generate a random vector.
      Specified by:
      nextVector in interface RandomVectorGenerator
      Returns:
      a random vector as an array of double.

    • skipTo

      public double[] skipTo​(int index) throws NotPositiveException
      Skip to the i-th point in the Sobol sequence.

      This operation can be performed in O(1).

      Parameters:
      index - the index in the sequence to skip to
      Returns:
      the i-th point in the Sobol sequence
      Throws:
      NotPositiveException - if index < 0

    • getNextIndex

      public int getNextIndex()
      Returns the index i of the next point in the Sobol sequence that will be returned by calling nextVector().
      Returns:
      the index of the next point