Sobol pseudo-random number generator

_images/uniforms.png

Original authors

  • Original FORTRAN77 version by Bennett Fox
  • Original MATLAB version by John Burkardt
  • Original PYTHON version by Corrado Chisari

Original code: http://people.sc.fsu.edu/~jburkardt/py_src/sobol/sobol.html

Functions

sobol.sobol.sobol_rvs(size=10, skip=10)[source]

Generates a Sobol pseudo-random dataset.

Parameters:

size : int or tuple

Size of the output array. If tuple, then the second dimension is bounded by 40.

skip : int

Number of initial points to skip
Returns:

array

Random numbers
Raises:

ValueError

Examples

>>> from sobol import sobol_rvs
>>> rvs = sobol_rvs(size=(2, 3), skip=1000)
>>> print(rvs)
[[ 0.15722656  0.21972656  0.71972656]
 [ 0.90917969  0.09667969  0.59667969]]