hammersley

hammersley, a C++ code which computes elements of a Hammersley Quasi Monte Carlo (QMC) sequence using a simple interface.

The standard M-dimensional Hammersley sequence based on N is simply composed of a first component of successive fractions 0/N, 1/N, ..., N/N, paired with M-1 1-dimensional van der Corput sequences, using as bases the first M-1 primes.

The HAMMERSLEY function will return the M-dimensional element of this sequence with index I.

The HAMMERSLEY_SEQUENCE function will return the M-dimensional elements of this sequence with indices I1 through I2.

The HAMMERSLEY_INVERSE function accepts an M-dimensional value, presumably computed by HAMMERSLEY, and returns its original index I.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

hammersley is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

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hammersley_test

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Reference:

1. John Hammersley, Monte Carlo methods for solving multivariable problems, Proceedings of the New York Academy of Science, Volume 86, 1960, pages 844-874.
2. Ladislav Kocis, William Whiten,
   Computational Investigations of Low-Discrepancy Sequences,
   ACM Transactions on Mathematical Software,
   Volume 23, Number 2, 1997, pages 266-294.

Source Code:

• hammersley.cpp, the source code.
• hammersley.sh, compiles the source code.
• hammersley.hpp, the include file.