Package: sobol 1.0.0

sobol: 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) <doi:10.1145/42288.214372> and uses direction numbers from Joe and Kuo (2008) <doi:10.1145/1358628.1358630>. The package includes both batch and incremental interfaces with support for arbitrary starting indices and reproducible sequences. It uses 'Rcpp' for efficient 'C++' integration.

Authors:Angel Robles [aut, cre], Ilya M. Sobol [ctb], Paul Bratley [ctb], Bennett L. Fox [ctb], Stephen Joe [ctb], Frances Y. Kuo [ctb]