R package: Low WAFOM Sequences based on Sobol sequences
Low WAFOM Sequences based on Sobol sequences are searched using an algorithm described in Shinsuke Mori's master thesis.
- version 1.1.1, bug fixed version, is now on CRAN.
- LowWAFOMSobol 1.0 is now available in CRAN.
Link
Install
You can install the release packeage from CRAN.
Install Develop version
- Windows Users need Rtools.
- Mac users need Xcode.
And then,
install.packages('devtools')
library('devtools')
install_github("MersenneTwister-Lab/LowWAFOMSobol", ref='develop')
Download
Release Version:
Develop Version:
Now, Develop version is same as release version.
Reference
- Shinsuke Mori, "Suuchi Sekibun no tameno QMC Ten Shuugou no Sekkei, Tansaku, oyobi sono Yuukousei", Master's Thesis, 2017.
- Ryuichi Ohori, "Efficient Quasi Monte Carlo Integration by Adjusting the Derivation-sensitivity Parameter of Walsh Figure of Merit", Master's Thesis, 2015.
- S. Harase and R. Ohori, "A search for extensible low-WAFOM point sets", arXiv preprint, arXiv:1309.7828, (2013), https://arxiv.org/abs/1309.7828.
- Harase, S. (2016). "A search for extensible low-WAFOM point sets", Monte Carlo Methods and Applications, 22(4), pp. 349-357, 2017. doi:10.1515/mcma-2016-0119
- M. Matsumoto and R. Ohori, "Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC", Springer International Publishing, Cham, 2016, pp. 143-160.
- M. Matsumoto, M. Saito, and K. Matoba, "A computable figure of merit for quasi-Monte Carlo point sets", Mathematics of Computation, 83 (2014), pp. 1233-1250.
- S. Joe and F. Y. Kuo, "Constructing Sobol sequences with better two-dimensional projections", SIAM J. Sci. Comput. 30, 2635-2654 (2008).