Intel® oneAPI Math Kernel Library
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SOBOL ... seeding / very strange behavior (pseudo works fine!)

pdonahue
Beginner
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Hello,

I've written an application that uses random numbers to generate an average (given sufficient sample size it converges) and am running into some strange problems with Sobol and quasi-random numbers. If I use VSL_BRNG_SOBOL and seed it with 2*ndims (taking MV gaussian draws), the applications works correctly when I take an odd number of draws (i.e. 3, 5, etc.). However, when I take an even number (i.e. 2, 4, etc.), I get results that are not correct!

Substituting VSL_BRNG_MCG59 and seeing with a random int to get pseudo-random numbers works correctly every time. What am I doing wrong or what is wrong with Sobol?

Thanks!
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Andrey_N_Intel
Employee
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Thank you for your question. It could be nice if you providea short test case which demonstrates the situation youhave described. Also, some other detailswould be useful: what version of MKL you use, and what method (BOXMULLER or BOXMULLER 2) is used for generation of the random vectors. Thank you.
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