RE: [Quantlib-dev] Suggestion for sobol generator

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

Hi Luigi

I wrote the attached harness to perform exactly this test (should have sent=
 it with my code). I've tested skipping the first 1000 in the sequence up t=
o dimension 50 with no problems.

Regards
Richard


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Thursday, 4 May 2006 3:51 PM
To: Richard Gould
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Suggestion for sobol generator


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


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