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.

- Add ability to use every $k$-th draw.

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.

09/08/2016

7 months ago

2 commits