[Quantlib-dev] Suggestion for sobol generator

[Richard G. <Ric...@ma...>]

Hi

I've been looking at using the Sobol number generator class in QuantLib for=
 running parallel monte-carlo simulations across many CPUs. I've modified t=
he constructor to take an extra argument to the constructor to skip ahead i=
n the sequence and thought you might want to consider adding this an extens=
ion to the interface. The code I used is as follows and will scale as O[log=
_2(N)] where N is the number of events to skip at the start of the sequence:

        // initialize the Sobol integer/double vectors
        // first draw
        unsigned long N =3D skip+1;
        unsigned int ops =3D ((unsigned int)(log(N)/M_LN2))+1;

        // Convert to Gray code
        unsigned long G =3D N ^ (N>>1);
        for (k=3D0; k<dimensionality_; k++)
        {
            integerSequence_[k] =3D 0;
            for(index=3D0; index<ops; index++)
            {
                if(G>>index & 1)
                    integerSequence_[k] ^=3D directionIntegers_[k][index];
            }
        }

        sequenceCounter_ =3D skip;


Regards
Richard Gould


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