FAURE The Faure Quasirandom Sequence

FAURE is a FORTRAN90 library which computes elements of the Faure quasirandom sequence.

A quasirandom or low discrepancy sequence, such as the Faure, Halton, Hammersley, Niederreiter or Sobol sequences, is "less random" than a pseudorandom number sequence, but more useful for such tasks as approximation of integrals in higher dimensions, and in global optimization. This is because low discrepancy sequences tend to sample space "more uniformly" than random numbers. Algorithms that use such sequences may have superior convergence. Faure sequences, in particular, seem to have become popular in mathematical finance simulations.

FAURE is adapted from code in ACM TOMS Algorithm 647. The original, true, correct version of ACM TOMS Algorithm 647 is available in the TOMS subdirectory of the NETLIB web site.

Languages:

FAURE is available in a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

CVT, a FORTRAN90 library which computes elements of a Centroidal Voronoi Tessellation.

FAURE, a dataset directory which contains files of sample Faure datasets.

FAURE_DATASET, a FORTRAN90 program which can create a Faure dataset.

HALTON, a FORTRAN90 library which computes elements of a Halton Quasi Monte Carlo (QMC) sequence, using a simple interface.

HAMMERSLEY, a FORTRAN90 library which computes elements of a Hammersley Quasi Monte Carlo (QMC) sequence, using a simple interface.

HEX_GRID, a FORTRAN90 library which computes elements of a hexagonal grid dataset.

HEX_GRID_ANGLE, a FORTRAN90 library which computes elements of an angled hexagonal grid dataset.

IEEE_UNIFORM_SAMPLE, a FORTRAN90 library which tries to uniformly sample the discrete set of values that represent the legal IEEE real numbers;

IHS, a FORTRAN90 library which computes elements of an improved distributed Latin hypercube dataset.

LATIN_CENTER, a FORTRAN90 library which computes elements of a Latin Hypercube dataset, choosing center points.

LATIN_EDGE, a FORTRAN90 library which computes elements of a Latin Hypercube dataset, choosing edge points.

LATIN_RANDOM, a FORTRAN90 library which computes elements of a Latin Hypercube dataset, choosing points at random.

LATTICE_RULE, a FORTRAN90 library which approximates multidimensional integrals using lattice rules.

LCVT, a FORTRAN90 library which computes a latinized Centroidal Voronoi Tessellation.

NIEDERREITER2, a FORTRAN90 library which computes elements of a Niederreiter quasirandom sequence with base 2.

NORMAL, a FORTRAN90 library which computes elements of a sequence of pseudorandom normally distributed values.

SOBOL, a FORTRAN90 library which computes elements of a Sobol quasirandom sequence.

TOMS647, a FORTRAN90 library which is a version of ACM TOMS algorithm 647, for evaluating Faure, Halton and Sobol sequences.

UNIFORM, a FORTRAN90 library which computes elements of a uniform pseudorandom sequence.

VAN_DER_CORPUT, a FORTRAN90 library which computes elements of a van der Corput quasirandom sequence.

Reference:

1. Paul Bratley, Bennett Fox, Harald Niederreiter,
Implementation and Tests of Low Discrepancy Sequences,
ACM Transactions on Modeling and Computer Simulation,
Volume 2, Number 3, July 1992, pages 195-213.
2. Henri Faure,
Discrepance de suites associees a un systeme de numeration (en dimension s),
Acta Arithmetica,
Volume 41, 1982, pages 337-351.
3. Henri Faure,
Good permutations for extreme discrepancy,
Journal of Number Theory,
Volume 42, 1992, pages 47-56.
4. Bennett Fox,
Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators,
ACM Transactions on Mathematical Software,
Volume 12, Number 4, December 1986, pages 362-376.

List of Routines:

• BINOMIAL_TABLE computes a table of bionomial coefficients MOD QS.
• FAURE generates a new quasirandom Faure vector with each call.
• FAURE_GENERATE generates a Faure dataset.
• GET_UNIT returns a free FORTRAN unit number.
• I4_LOG_I4 returns the logarithm of an I4 to an I4 base.
• PRIME_GE returns the smallest prime greater than or equal to N.
• PRIME returns any of the first PRIME_MAX prime numbers.
• R8MAT_WRITE writes an R8MAT file.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the FORTRAN90 source codes.

Last revised on 11 December 2009.