FAURE, a C++ 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.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
FAURE is available in a C++ version and a FORTRAN90 version and a MATLAB version.
BOX_BEHNKEN, a C++ library which computes a Box-Behnken design, that is, a set of arguments to sample the behavior of a function of multiple parameters;
CVT, a C++ library which computes elements of a Centroidal Voronoi Tessellation.
FAURE, a dataset directory which contains files of sample Faure datasets.
GRID, a C++ library which computes elements of a grid sequence.
HALTON, a C++ library which computes elements of a Halton Quasi Monte Carlo (QMC) sequence, using a simple interface.
HAMMERSLEY, a C++ library which computes elements of a Hammersley Quasi Monte Carlo (QMC) sequence, using a simple interface.
HEX_GRID, a C++ library which computes elements of a hexagonal grid dataset.
IHS, a C++ library which computes elements of an improved distributed Latin hypercube dataset.
LATIN_CENTER, a C++ library which computes elements of a Latin Hypercube dataset, choosing center points.
LATIN_EDGE, a C++ library which computes elements of a Latin Hypercube dataset, choosing edge points.
LATIN_RANDOM, a C++ library which computes elements of a Latin Hypercube dataset, choosing points at random.
LCVT, a C++ library which computes a latinized Centroidal Voronoi Tessellation.
NIEDERREITER2, a C++ library which computes elements of a Niederreiter quasirandom sequence using base 2.
NORMAL, a C++ library which computes elements of a sequence of pseudorandom normally distributed values.
SOBOL, a C++ library which computes Sobol sequences.
TOMS647, a FORTRAN77 library which is a version of ACM TOMS algorithm 647, for evaluating Faure, Halton and Sobol quasirandom sequences.
UNIFORM, a C++ library which computes elements of a uniform pseudorandom sequence.
VAN_DER_CORPUT, a C++ library which computes elements of a 1D van der Corput sequence.