sobol

sobol(n: int, d: int, seeds: collections.abc.Sequence[int] = []) → numpy.ndarray

Simulates from the multivariate Sobol sequence.

For more information on the Sobol sequence, see S. Joe and F. Y. Kuo (2008), constructing Sobol sequences with better two-dimensional projections, SIAM J. Sci. Comput. 30, 2635–2654.

Parameters:

nint

Number of observations.

dint

Dimension.

seedslist of int

Seeds to scramble the quasi-random numbers; if empty (default), the quasi-random number generator is seeded randomly.

Returns:

ndarray, shape (n, m), dtype float

An \(n \times d\)matrix of quasi-random \(\mathrm{U}[0, 1]\)variables.