Re: [Quantlib-dev] Suggestion for sobol generator

[Luigi B. <lui...@gm...>]

On 2/6/06, Richard Gould <Ric...@ma...> wrote:
> I've been looking at using the Sobol number generator class in QuantLib f=
or
> running parallel monte-carlo simulations across many CPUs. I've modified =
the
> constructor to take an extra argument to the constructor to skip ahead in
> the sequence.

Richard,
    I finally got around to merge your code into the repository. It
compiles cleanly, but I had problems testing it. I expected that if I
skipped N samples and extracted 10 more, such 10 samples should be
equal to those obtained by initializing a generator without skipping,
extracting and discarding N samples, and extracting 10 more. This
should also hold in the degenerate case when N=3D0. However, this didn't
seem to be the case; the samples I obtained were somewhat different.
Can you check that your implementation passes such test and send me a
patch if it does?

Thanks,
    Luigi