Class FaureRsg

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

The Faure low-discrepancy sequence generator. It is based on existing Fortran and C algorithms to calculate the Pascal matrix and gray transforms: E. Thiemard, Economic generation of low-discrepancy sequences with a b-ary gray code; Algorithms 659, 647, http://www.netlib.org/toms/647, http://www.netlib.org/toms/659.

[WorkingType]
public sealed class FaureRsg : IRsg

Inheritance

object

FaureRsg

Implements

IRsg

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A mutable working type: each draw changes it, and it is not thread-safe. A draw returns a view of its buffer, valid until its next draw. The correctness of the returned values is tested by reproducing known good values.

Its integers are QuantLib's long under MSVC, 32 bits wide, which also sets the number of base-b digits the sequence carries, ⌊ln(2^31 − 1)/ln b⌋: 30 in two dimensions (base 2), 4 in a hundred (base 101). Once its counter carries past them the generator refuses ("Error processing Faure sequence."), after 2^30 − 1 draws in base 2 and 101^4 − 1 in base 101, where QuantLib built with a 64-bit long (Linux) draws other numbers and refuses after about 10^18. These are the Python wheel's numbers.

Constructors

FaureRsg(int)

Initializes a new instance of the FaureRsg class.

public FaureRsg(int dimensionality)

Parameters

dimensionality int

The dimension of each sequence, at least 1.

Exceptions

ArgumentOutOfRangeException

dimensionality is below 1.

Properties

Dimension

Gets the dimension of each sequence.

public int Dimension { get; }

Property Value

int

Methods

Clone()

Copies the generator deeply: the copy's next draw equals this one's, into its own buffer, and the two change apart.

public FaureRsg Clone()

Returns

FaureRsg

The copy.

LastIntSequence()

Gets the integer sequence the last draw gave.

public ReadOnlyMemory<int> LastIntSequence()

Returns

ReadOnlyMemory<int>

The integers, a view of the generator's buffer valid until its next draw.

LastSequence()

Gets the sequence the last draw gave.

public Sample<ReadOnlyMemory<double>> LastSequence()

Returns

Sample<ReadOnlyMemory<double>>

The sequence, a view of the generator's buffer valid until its next draw, and its weight, 1.

NextIntSequence()

Draws the next integer sequence: the sequence's next point before its normalisation.

public ReadOnlyMemory<int> NextIntSequence()

Returns

ReadOnlyMemory<int>

The integers, a view of the generator's buffer valid until its next draw.

Exceptions

NanoQLException

The counter carries past the base-b digits the sequence carries.

NextSequence()

Draws the next sequence, in [0, 1) in each dimension.

public Sample<ReadOnlyMemory<double>> NextSequence()

Returns

Sample<ReadOnlyMemory<double>>

The sequence, a view of the generator's buffer valid until its next draw, and its weight, 1.

Exceptions

NanoQLException

The counter carries past the base-b digits the sequence carries.