Michael Baudin

Low Discrepancies Module for Scilab

The goal of this toolbox is to provide a collection of low discrepancy sequences. These random numbers are designed to be used in a Monte-Carlo simulation. For example, low discrepancy sequences provide a higher convergence rate to the Monte-Carlo method when used in numerical integration. The ... [More] toolbox takes into account the dimension of the problem, i.e. generate vectors with arbitrary size. Overview of sequences * The Halton sequence, * The Sobol sequence, * The Faure sequence, * The Reverse Halton sequence of Vandewoestyne and Cools, * The Niederreiter base 2 and arbitrary base sequence. [Less]