net.finmath.randomnumbers

Class HaltonSequence

java.lang.Object

net.finmath.randomnumbers.HaltonSequence

All Implemented Interfaces:

RandomNumberGenerator

public class HaltonSequence
extends Object
implements RandomNumberGenerator

Implements a multi-dimensional Halton sequence (quasi random numbers) with the given bases.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
HaltonSequence(int[] base) Constructs a Halton sequence with the given bases.

Method Summary

Modifier and Type	Method and Description
int	getDimension()
double[]	getHaltonNumber(long index)
double	getHaltonNumber(long index, int dimension)
static double	getHaltonNumberForGivenBase(long index, int base) Return a Halton number, sequence starting at index = 0, base > 1.
double[]	getNext()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

HaltonSequence

public HaltonSequence(int[] base)

Constructs a Halton sequence with the given bases. The bases should be integers without common divisor greater than 1, for example, prime numbers.

Parameters:

base - The array of base integers. The length of the array defines the dimension of the sequence.

Method Detail

getNext

public double[] getNext()

Specified by:

getNext in interface RandomNumberGenerator

getDimension

public int getDimension()

Specified by:

getDimension in interface RandomNumberGenerator

getHaltonNumber

public double[] getHaltonNumber(long index)

getHaltonNumber

public double getHaltonNumber(long index,
                              int dimension)

getHaltonNumberForGivenBase

public static double getHaltonNumberForGivenBase(long index,
                                                 int base)

Return a Halton number, sequence starting at index = 0, base > 1.

Parameters:

index - The index of the sequence.

base - The base of the sequence. Has to be greater than one (this is not checked).

Returns:

The Halton number.