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Halton

Implements Halton Sequences and Halton Draws for Julia

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HaltonDraws

Convenient interface for getting Halton Draws from a Normal distribution. Typically need for Monte Carlo integration. These are rough implementations of the code available Kolář and O'Shea (1993) and make no claim of coding efficiency or deep understanding.

HaltonDraws!(H::Array{Float64,1},B::Int; skip=500,distr=Normal()) replaces H with draws from distr using a Halton sequence of base B after discarding skip entries.

Also exports HaltonSeq!(H::Array{Float64,1},B::Int;skip=0) which replaces H with entries from a Halton sequence of base B after discarding skip entries.

To-Do:
  • Add ability to use every $k$-th draw.

References

Kolář, Miroslav and Seamus O'Shea (1993). "Fast, portable, and reliable algorithm for the calculation of Halton numbers" Computers & Mathematics with Applications 25(7):3-13.

First Commit

09/08/2016

Last Touched

7 months ago

Commits

2 commits

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