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WG: High-Dimensional Sobol Sequences
- From: Philipp Noël Baecker <philipp dot baecker at gmx dot net>
- To: gsl-discuss at sources dot redhat dot com
- Date: Mon, 7 Nov 2005 09:49:18 +0000
- Subject: WG: High-Dimensional Sobol Sequences
- Reply-to: <philipp dot baecker at gmx dot net>
Von: Philipp Noël Baecker [mailto:philipp.baecker@gmx.net]
Gesendet: Montag, 24. Oktober 2005 13:00
An: 'gsl-discuss@sources.redhat.com'
Betreff: High-Dimensional Sobol Sequences
Dear Group:
A while ago I extended the dimensionality of the GSL Sobol QRNG to
facilitate a variety of financial applications (e.g. stochastic integration
for American option pricing).
Since I have received a number of request regarding this functionality, I
decided to make the extension available as a small GSL package. It can be
downloaded from
http://www.ebs.de/fileadmin/redakteur/funkt.dept.finance/hommel/software/qrn
gextra-0.1.zip.
Among my goals are extending this package to include more general sequences
as well as building reliable test routines.
In the meantime, I am grateful for feedback.
Best regards
Philipp