Module net.finmath.lib

Package net.finmath.randomnumbers

Class SobolSequence

java.lang.Object

net.finmath.randomnumbers.SobolSequence

All Implemented Interfaces:

Serializable, RandomNumberGenerator

public class SobolSequence
extends Object
implements RandomNumberGenerator

Implements a multi-dimensional Sobol sequence. The class is just a wrapper to Apache commons-math implementation in order to implement the interface RandomNumberGenerator with a minimal change. The value 0, the first element of the sequence, is omitted.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
SobolSequence(int dimension)	Constructs a Sobol sequence with given dimension.

Method Summary

Modifier and Type	Method	Description
int	getDimension()	Get the sample vector dimension.
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 Details

SobolSequence

public SobolSequence(int dimension)

Constructs a Sobol sequence with given dimension.

Parameters:

dimension - The dimension of the sequence.

Method Details

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.