High Dimensional Scrambled Sobol Sequences An R and SPlus Software Implementation
نویسنده
چکیده
We report on the implementation of high dimensional scrambled Sobol sequences for Monte Carlo Simulations under the statistical software packages R and SPlus. The generator provides low discrepancy sequences distributed uniformly in [0, 1) or distributed normally with mean zero and variance one. The implementation interfaces the ACM Algorithm 659 which allows to generate three different types of scrambled sequences. The upper dimensional limit is quite large, sequences in up to 1111 dimensions can be generated.
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