/sobol

Sobol' generator for low-discrepancy sequences

Primary LanguagePythonMIT LicenseMIT

sobol

This project explores the Sobol' family of generators, which produce low-discrepancy sequences in high dimensions. We use the direction numbers and primitive polynomials shared in the below paper by Joe and Kuo.

Plots

These plots compare the first two dimensions of the Sobol' generator against Python's random.random() generator at 16, 64, 256, and 1024 samples.

Sobol Uniform
sobol-16 uniform-16
sobol-64 uniform-64
sobol-256 uniform-256
sobol-1024 uniform-1024

References

See Also