Quasi-Monte Carlo Sobol Sequence Generator

Provides a fast and efficient implementation of Sobol sequences for quasi-Monte Carlo methods. The Sobol sequence is a low-discrepancy sequence with the property that for all values of N, its subsequence x1, ..., xN has a low discrepancy. It can be used to generate quasi-random numbers for use in Monte Carlo integration and other simulation methods. This implementation is based on the algorithms described by Bratley and Fox (1988) and uses direction numbers from Joe and Kuo (2008) . The package includes both batch and incremental interfaces with support for arbitrary starting indices and reproducible sequences. It uses 'Rcpp' for efficient 'C++' integration.


Reference manual

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install.packages("sobol")

1.0.0 by Angel Robles, 5 months ago


https://alrobles.github.io/sobol/


Report a bug at https://github.com/alrobles/sobol/issues


Browse source code at https://github.com/cran/sobol


Authors: Angel Robles [aut, cre] , Ilya M. Sobol [ctb] (Original Sobol sequence algorithm) , Paul Bratley [ctb] (Algorithm implementation reference) , Bennett L. Fox [ctb] (Algorithm implementation reference) , Stephen Joe [ctb] (Direction numbers and primitive polynomials) , Frances Y. Kuo [ctb] (Direction numbers and primitive polynomials)


Documentation:   PDF Manual  


GPL (>= 3) license


Imports Rcpp, methods, checkmate

Suggests testthat, ggplot2, microbenchmark

Linking to Rcpp


Imported by xsdm.


See at CRAN