org.apache.commons.math3.random

## Class SobolSequenceGenerator

• All Implemented Interfaces:
RandomVectorGenerator

public class SobolSequenceGenerator
extends 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
Sobol sequence (Wikipedia), Sobol sequence direction numbers
• ### Constructor Summary

Constructors
Constructor and Description
SobolSequenceGenerator(int dimension)
Construct a new Sobol sequence generator for the given space dimension.
SobolSequenceGenerator(int dimension, InputStream is)
Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.
• ### Method Summary

Methods
Modifier and Type Method and 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)
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Constructor Detail

• #### 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,
InputStream is)
throws NotStrictlyPositiveException,
MathParseException,
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
IOException - if an error occurs while reading from the input stream
• ### Method Detail

• #### 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

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