Journal
ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE
Volume 29, Issue 1, Pages 49-57Publisher
ASSOC COMPUTING MACHINERY
DOI: 10.1145/641876.641879
Keywords
algorithms; low-discrepancy sequences; primitive polynomials; quasirandom sequences; Sobol' sequences
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An algorithm to generate Sobol' sequences to approximate integrals in up to 40 dimensions has been previously given by Bratley and Fox in Algorithm 659. Here, we provide more primitive polynomials and direction numbers so as to allow the generation of Sobol' sequences to approximate integrals in up to 1111 dimensions. The direction numbers given generate Sobol' sequences that satisfy Sobol's so-called Property A.
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