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Sobol Sequences / Gaussian

pdonahue
Beginner
310 Views
I'm trying to generate N-dimensional Gaussian Sobol sequences with mean 0 and std. dev of 1, but I'm noticing that the sample mean of the Nth dimension is quite off. Additionally, this column has no values that are >0, whereas all other columns seem to be properly distributed. Any ideas?

For example (check of return values removed for brevity):

const int METHOD=0, DIMENS=5, SAMPLES=100000;

VSLStreamStatePtr stream;
vslNewStream( &stream, VSL_BRNG_SOBOL, DIMENS );

double *MAT = new double[DIMENS*SAMPLES];
vdRngGaussian( METHOD, stream, DIMENS*SAMPLES, MAT, 0.0, 1.0 );

// if MAT is written to csv file, loaded into excel
// and sorted by column, it becomes apparent that
// the maximum value of the last column (5 in this case)
// is never >0. the mean of this column is also not close
// to 0 as one should expect(?). all other columns are
// distributed between -4 and 4, while column 5 is between
// 0 and 4.
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5 Replies
ttppo
Beginner
310 Views
Please try it:

#define SEED 1

.......................

double a=0.0,sigma=1.0;

.......................

/***** Initialize *****/
vslNewStream( &stream, VSL_BRNG_SOBOL, SEED );//Not vslNewStream( &stream, VSL_BRNG_SOBOL, DIMENS );

/***** Call RNG *****/
vdRngGaussian( METHOD, stream, DIMENS*SAMPLES, MAT, a, sigma );

.........................

.........................
/***** Deinitialize *****/
vslDeleteStream( &stream );
ttppo
Beginner
310 Views
vslNewStream( &stream, VSL_BRNG_SOBOL, SEED );/*Not vslNewStream( &stream, VSL_BRNG_SOBOL, DIMENS );*/
ttppo
Beginner
310 Views
vslNewStream( &stream, BRNG, SEED );
vdRngGaussian( METHOD, stream, N, r, a, sigma );
In the case of vdRngGaussian(...) called only once:
In fact, the "random" values are always fixed and not changed, if BRNG and SEED are not change.

But you can call vdRngGaussian() many times to generate the random values.
ttppo
Beginner
310 Views
Or you can try:
#define SEED 7
Andrey_N_Intel
Employee
310 Views
Box-Muller methodfor generation of one Gaussian random number uses a pair of uniform random variates. So, in order to obtain N samples of normally distributed random vectors of dimension DIM one needs to initialize Sobol quasi-random number generator with dimension (seed)2*DIM:
#define BRNG VSL_BRNG_SOBOL
#define SEED 10
#define METHOD 0
#define DIMENS 5
#define N 1000
...
vslNewStream( &stream, BRNG, SEED );
vdRngGaussian( METHOD, stream, DIMENS*N, r, 0.0, 1.0 );
vslDeleteStream( &stream );
...
Please, find additional information about methods of generation of Gaussian rundom numbers and quasi-random random generators implemented in VSL
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