repeated sampling from sobol (or halton) sequence

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Chet Sharma 2022-8-18

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https://ww2.mathworks.cn/matlabcentral/answers/1781670-repeated-sampling-from-sobol-or-halton-sequence

评论： Bharath Attoti 2022-12-13

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Hello

Very new to the idea of Quasi RN sampling. Starting point:

If I had to sample 20 times from the standard normal (5 random numbers at a time), I would just do this:

for i = 1: 20
    x = randn(1, 1:5)
end

How would I do the same from a halton or sobol sequence?

I've been looking at the documentation.....not clear yet. I'm sure its staring at me....just a little help would be awesome!!

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Chet Sharma 2022-8-18

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Still searching....I tried the following code. What I'm not able to understand is how to change the result of the test2 variable....how do I make it change for each iteration? The code here doesn't quite do it....

for i = 1 : 10
    test = haltonset(1000, 'skip', i);
    test = scramble(test, 'RR2');
    test2 = net(test, 5);
end

Bharath Attoti 2022-12-13

Yes, I am not sure why but even a change in rng seed value does not seem to change the output point set of sobolset and haltonset. I remember getting diffirent results with change in seed in the 2017b version of Matlab. I have upgraded to version 2022b now. Is it the issue with the latest version? Which version are you using?

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Answer 1

Chet Sharma 2022-8-18

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https://ww2.mathworks.cn/matlabcentral/answers/1781670-repeated-sampling-from-sobol-or-halton-sequence#answer_1028875

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Looks like the answer may be much simpler:

x1 = RandStream('mt19937ar')
x1 = 
mt19937ar random stream
             Seed: 0
  NormalTransform: Ziggurat
x2 = randn(x1, 4, 1)
x2 = 4×1
    0.5377
    1.8339
   -2.2588
    0.8622