faure, a FORTRAN90 code 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.
The code is adapted 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.
CVT, a FORTRAN90 code which computes elements of a Centroidal Voronoi Tessellation.
HALTON, a FORTRAN90 code which computes elements of a Halton Quasi Monte Carlo (QMC) sequence, using a simple interface.
HAMMERSLEY, a FORTRAN90 code which computes elements of a Hammersley Quasi Monte Carlo (QMC) sequence, using a simple interface.
HEX_GRID, a FORTRAN90 code which computes elements of a hexagonal grid dataset.
IEEE_UNIFORM_SAMPLE, a FORTRAN90 code which tries to uniformly sample the discrete set of values that represent the legal IEEE real numbers;
IHS, a FORTRAN90 code which computes elements of an improved distributed Latin hypercube dataset.
LATIN_CENTER, a FORTRAN90 code which computes elements of a Latin Hypercube dataset, choosing center points.
LATIN_EDGE, a FORTRAN90 code which computes elements of a Latin Hypercube dataset, choosing edge points.
LATIN_RANDOM, a FORTRAN90 code which computes elements of a Latin Hypercube dataset, choosing points at random.
LATTICE_RULE, a FORTRAN90 code which approximates multidimensional integrals using lattice rules.
LCVT, a FORTRAN90 code which computes a latinized Centroidal Voronoi Tessellation.
NIEDERREITER2, a FORTRAN90 code which computes elements of a Niederreiter quasirandom sequence with base 2.
NORMAL, a FORTRAN90 code which computes elements of a sequence of pseudorandom normally distributed values.
SOBOL, a FORTRAN90 code which computes elements of a Sobol quasirandom sequence.
TOMS647, a FORTRAN90 code which is a version of ACM TOMS algorithm 647, for evaluating Faure, Halton and Sobol sequences.
UNIFORM, a FORTRAN90 code which computes elements of a uniform pseudorandom sequence.
VAN_DER_CORPUT, a FORTRAN90 code which computes elements of a van der Corput quasirandom sequence.