Quasi random numbers in high dimension

1 次查看（过去 30 天）
Mark
Mark 2014-12-4
回答： Tom Lane 2014-12-17
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?

请先登录，再回答此问题。

回答（1 个）

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

类别

在 Help Center 和 File Exchange 中查找有关 Design of Experiments (DOE) 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by