Class SobolSequence

java.lang.Object
net.finmath.randomnumbers.SobolSequence
All Implemented Interfaces:
Serializable, RandomNumberGenerator

public class SobolSequence extends Object implements RandomNumberGenerator
Implements a multi-dimensional Sobol sequence. The class is just a wrapper to Apache commons-math implementation in order to implement the interface RandomNumberGenerator with a minimal change. The value 0, the first element of the sequence, is omitted.
Version:
1.0
Author:
Christian Fries
See Also:
  • Constructor Details

    • SobolSequence

      public SobolSequence(int dimension)
      Constructs a Sobol sequence with given dimension.
      Parameters:
      dimension - The dimension of the sequence.
  • Method Details

    • getNext

      public double[] getNext()
      Description copied from interface: RandomNumberGenerator
      Get the next sample vector of dimension n, where n is getDimension. An implementation has to be thread safe.
      Specified by:
      getNext in interface RandomNumberGenerator
      Returns:
      The next sample vector of dimension n, where n is getDimension.
    • getDimension

      public int getDimension()
      Description copied from interface: RandomNumberGenerator
      Get the sample vector dimension.
      Specified by:
      getDimension in interface RandomNumberGenerator
      Returns:
      The sample vector dimension n.