- QuantLib
- RandomizedLDS
 
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, const 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 | 
Randomized (random shift) low-discrepancy sequence.
Random-shifts a uniform low-discrepancy sequence of dimension  by adding (modulo 1 for each coordinate) a pseudo-random uniform deviate in
 by adding (modulo 1 for each coordinate) a pseudo-random uniform deviate in  It is used for implementing Randomized Quasi Monte Carlo.
 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;

| void nextRandomizer | ( | ) | 
update the randomizing vector and re-initialize the low discrepancy generator