RandomizedLDS< LDS, PRS > Class Template Reference

Randomized (random shift) low-discrepancy sequence. More...

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

Collaboration diagram for RandomizedLDS< LDS, PRS >:

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

Public Member Functions
	RandomizedLDS (const LDS &ldsg, 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 More...
const sample_type &	lastSequence () const
void	nextRandomizer ()
Size	dimension () const

Private Attributes
LDS	ldsg_
LDS	pristineldsg_
PRS	prsg_
Size	dimension_
sample_type	x
sample_type	randomizer_

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.

Definition at line 59 of file randomizedlds.hpp.

Member Typedef Documentation

sample_type

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

Definition at line 61 of file randomizedlds.hpp.

Constructor & Destructor Documentation

RandomizedLDS() [1/3]

RandomizedLDS	(	const LDS &	ldsg,
		PRS	prsg
	)

Definition at line 87 of file randomizedlds.hpp.

RandomizedLDS() [2/3]

RandomizedLDS

(

const LDS &

ldsg

)

Definition at line 100 of file randomizedlds.hpp.

RandomizedLDS() [3/3]

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

Definition at line 110 of file randomizedlds.hpp.

Member Function Documentation

nextSequence()

const RandomizedLDS< LDS, PRS >::sample_type & nextSequence

returns next sample using a given randomizing vector

Definition at line 122 of file randomizedlds.hpp.

lastSequence()

const sample_type & lastSequence

(

)

const

Definition at line 69 of file randomizedlds.hpp.

nextRandomizer()

void nextRandomizer

(

)

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

Definition at line 74 of file randomizedlds.hpp.

dimension()

Size dimension

(

)

const

Definition at line 78 of file randomizedlds.hpp.

Member Data Documentation

ldsg_

LDS ldsg_

mutableprivate

Definition at line 80 of file randomizedlds.hpp.

pristineldsg_

LDS pristineldsg_

private

Definition at line 80 of file randomizedlds.hpp.

prsg_

PRS prsg_

private

Definition at line 81 of file randomizedlds.hpp.

dimension_

Size dimension_

private

Definition at line 82 of file randomizedlds.hpp.

x

sample_type x

mutableprivate

Definition at line 83 of file randomizedlds.hpp.

randomizer_

sample_type randomizer_

private

Definition at line 83 of file randomizedlds.hpp.