QuantLib_RandomizedLDS man page

RandomizedLDS< LDS, PRS > — Randomized (random shift) low-discrepancy sequence.

Synopsis

#include <ql/math/randomnumbers/randomizedlds.hpp>

Public Types

typedef Sample< std::vector< Real > > sample_type

Public Member Functions

RandomizedLDS (const LDS &ldsg, const PRS &prsg)

RandomizedLDS (const LDS &ldsg)

RandomizedLDS (Size dimensionality, BigNatural ldsSeed=0, BigNatural prsSeed=0)

const sample_type & nextSequence () const
returns next sample using a given randomizing vector
const sample_type & lastSequence () const

void nextRandomizer ()

Size dimension () const

Detailed Description

template<class LDS, class PRS = RandomSequenceGenerator<MersenneTwisterUniformRng>>

class QuantLib::RandomizedLDS< LDS, PRS >" Randomized (random shift) low-discrepancy sequence.

Random-shifts a uniform low-discrepancy sequence of dimension $ N $ by adding (modulo 1 for each coordinate) a pseudo-random uniform deviate in $ (0, 1)^N. $ It is used for implementing Randomized Quasi Monte Carlo.

The uniform low discrepancy sequence is supplied by LDS; the uniform pseudo-random sequence is supplied by PRS.

Both class LDS and PRS must implement the following interface:

LDS::sample_type LDS::nextSequence() const;
Size LDS::dimension() const;

Precondition:

LDS and PRS must have the same dimension $ N $

Warning

Inverting LDS and PRS is possible, but it doesn't make sense.

Tests

correct initialization is tested.

Member Function Documentation

void nextRandomizer ()

update the randomizing vector and re-initialize the low discrepancy generator

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

nextRandomizer(3) and RandomizedLDS(3) are aliases of QuantLib_RandomizedLDS(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib