Module net.finmath.lib

Package net.finmath.randomnumbers

Class HaltonSequence

java.lang.Object

net.finmath.randomnumbers.HaltonSequence

All Implemented Interfaces:

Serializable, 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

See Also:

Serialized Form

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
int	getDimension()	Get the sample vector dimension.
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()	Get the next sample vector of dimension n, where n is getDimension.

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()

Description copied from interface: RandomNumberGenerator

Get the next sample vector of dimension n, where n is getDimension. An implementation has to be thread safe.

Specified by:

getNext in interface RandomNumberGenerator

Returns:

The next sample vector of dimension n, where n is getDimension.

getDimension

public int getDimension()

Description copied from interface: RandomNumberGenerator

Get the sample vector dimension.

Specified by:

getDimension in interface RandomNumberGenerator

Returns:

The sample vector dimension n.

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.