Quasi random numbers in high dimension

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Mark
Mark 2014 年 12 月 4 日
回答済み: Tom Lane 2014 年 12 月 17 日
I am trying to generate quasi random numbers with the Halton sequence. However, the dimensionality appears to give problems. I want to simulate 13 variables with 50 timesteps. This means I have to generate 13*50 650 quasi-random numbers per simulation.
I found this explanation on values for 'Leap'. However, using the 651'th prime number does not give the results I need. See the following example:
p = haltonset(13*50,'Skip',1e7,'Leap',4861)
p = scramble(p,'RR2')
X = net(p,1000);
boxplot(X(:,1:10))
Is it possible to generate quasi-random numbers with the Halton sequence and such a high dimensionality? Or are there alternatives available that do work?

回答 (1 件)

Tom Lane
Tom Lane 2014 年 12 月 17 日
The link gives ambiguous advice. The text suggests using P-1 even though the example uses P. If I try 4860, things look okay.

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