Tenokonda Random Number Generator enables uniform quasi random numbers generation. It is based on Sobol low discrepancy sequences generators enhancing statistical properties of the resulting uniform distributions and in turn any distribution that can be sampled from a uniform through inverse transform.
Features
Handles 21K dimensions.
Enhanced independence between dimensions.
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Handles skip and scramble options.
References
- Bratley, P., and B. L. Fox. “Algorithm 659 Implementing Sobol´s Quasirandom Sequence Generator.” ACM Transactions on Mathematical Software. Vol. 14, No. 1, 1988, pp. 88–100.
- Hong, H. S., and F. J. Hickernell. “Algorithm 823: Implementing Scrambled Digital Sequences.” ACM Transactions on Mathematical Software. Vol. 29, No. 2, 2003, pp. 95–109.
- Joe, S., and F. Y. Kuo. “Remark on Algorithm 659: Implementing Sobol´s Quasirandom Sequence Generator.” ACM Transactions on Mathematical Software. Vol. 29, No. 1, 2003, pp. 49–57.
- Kocis, L., and W. J. Whiten. “Computational Investigations of Low-Discrepancy Sequences.” ACM Transactions on Mathematical Software. Vol. 23, No. 2, 1997, pp. 266–294.
- Matousek, J. “On the L2-Discrepancy for Anchored Boxes.” Journal of Complexity. Vol. 14, No. 4, 1998, pp. 527–556.
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