Algorithm 823: Implementing scrambled digital sequences

Hee Sun Hong*, Fred J. Hickernell

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

95 Citations (Scopus)
10 Downloads (Pure)

Abstract

Random scrambling of deterministic (t, m, s)-nets and (t, s)-sequences eliminates their inherent bias while retaining their low-discrepancy properties. This article describes an implementation of two types of random scrambling, one proposed by Owen and another proposed by Faure and Tezuka. The four different constructions of digital sequences implemented are those proposed by Sobol', Faure, Niederreiter, and Niederreiter and Xing. Because the random scrambling involves manipulating all digits of each point, the code must be written carefully to minimize the execution time. Computed root mean square discrepancies of the scrambled sequences are compared to known theoretical results. Furthermore, the performances of these sequences on various test problems are discussed.

Original languageEnglish
Pages (from-to)95-109
Number of pages15
JournalACM Transactions on Mathematical Software
Volume29
Issue number2
DOIs
Publication statusPublished - Jun 2003

Scopus Subject Areas

  • Software
  • Applied Mathematics

User-Defined Keywords

  • Digital net
  • Scrambling

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