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| janix | Posted on: 2009/3/18 22:08 |
Just popping in   Joined: 2008/2/29 From: Seoul. Korea Posts: 9 |
Sobol Sequence Generator Hi everybody.
I am looking for the algorithm of sobol sequence. there are a lot of pdf files on google but I couldn't understand. help me and please link an esay lecture note about sobol sequence. Thanks alot!! |
| janix | Posted on: 2009/4/20 4:23 |
Just popping in Joined: 2008/2/29 From: Seoul. Korea Posts: 9 |
Re: Sobol Sequence Generator I used the c code in http://web.maths.unsw.edu.au/~fkuo/sobol/index.html to generate the sobol sequence
and made a random number with an algorithm for computing the inverse normal cumulative distribution function in http://home.online.no/~pjacklam/notes/invnorm/ and http://home.online.no/~pjacklam/notes/invnorm/impl/sprouse/ltqnorm.c |
| quantobjects | Posted on: 2010/2/22 22:51 |
Just popping in Joined: 2010/2/22 From: Posts: 2 |
Re: Sobol Sequence Generator An article on Sobol which may be easier to understand than some of the other technical papers on the subject.
http://www.deltaquants.com/sobol-sequence.html Other excel(xlls) based free libraries at http://www.deltaquants.com/xll-quant-libraries.html mail us for more information and feedback |
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