Fast Generation of Low-Discrepancy Sequences

Fast Generation of Low-Discrepancy Sequences

Our implementation of the fast generation algorithms for some popular low-discrepancy sequences are presented here. The code is available under the GNU General Public License. Please note that to obtain optimized code, you should check the Makefile and define the relevant symbol for your processor, otherwise you will obtain the non-vectorized (but portable) version of the generation functions.
  1. Vectorized generation of the Sobol sequences -
  2. Vectorized generation of the Halton sequences