public void testSobol()
{
//("Testing Sobol sequences up to dimension "
// + PPMT_MAX_DIM + "...");
List<double> point;
double tolerance = 1.0e-15;
// testing max dimensionality
int dimensionality =(int)SobolRsg.PPMT_MAX_DIM;
ulong seed = 123456;
SobolRsg rsg=new SobolRsg(dimensionality, seed);
int points = 100, i;
for (i=0; i<points; i++)
{
point = rsg.nextSequence().value;
if (point.Count!=dimensionality) {
Assert.Fail("Sobol sequence generator returns "+
" a sequence of wrong dimensionality: " + point.Count
+ " instead of " + dimensionality);
}
}
// testing homogeneity properties
dimensionality = 33;
seed = 123456;
rsg = new SobolRsg(dimensionality, seed);
SequenceStatistics stat=new SequenceStatistics(dimensionality);
List<double> mean;
int k = 0;
for (int j=1; j<5; j++) { // five cycle
points = (int)(Utils.Pow(2.0, j)-1); // base 2
for (; k<points; k++) {
point = rsg.nextSequence().value;
stat.add(point);
}
mean = stat.mean();
for (i=0; i<dimensionality; i++) {
double error = Math.Abs(mean[i]-0.5);
if (error > tolerance) {
Assert.Fail(i+1 + " dimension: "
// + QL_FIXED
+ "mean (" + mean[i]
+ ") at the end of the " + j+1
+ " cycle in Sobol sequence is not " + 0.5
//+ QL_SCIENTIFIC
+ " (error = " + error + ")");
}
}
}
// testing first dimension (van der Corput sequence)
double[] vanderCorputSequenceModuloTwo= {
// first cycle (zero excluded)
0.50000,
// second cycle
0.75000, 0.25000,
// third cycle
0.37500, 0.87500, 0.62500, 0.12500,
// fourth cycle
0.18750, 0.68750, 0.93750, 0.43750, 0.31250, 0.81250, 0.56250, 0.06250,
// fifth cycle
0.09375, 0.59375, 0.84375, 0.34375, 0.46875, 0.96875, 0.71875, 0.21875,
0.15625, 0.65625, 0.90625, 0.40625, 0.28125, 0.78125, 0.53125, 0.03125
};
dimensionality = 1;
rsg = new SobolRsg(dimensionality);
points = (int)(Utils.Pow(2.0, 5))-1; // five cycles
for (i=0; i<points; i++) {
point = rsg.nextSequence().value;
double error =Math.Abs(point[0]-vanderCorputSequenceModuloTwo[i]);
if (error > tolerance) {
Assert.Fail(i+1 + " draw ("
//+ QL_FIXED
+ point[0]
+ ") in 1-D Sobol sequence is not in the "
+ "van der Corput sequence modulo two: "
+ "it should have been "
+ vanderCorputSequenceModuloTwo[i]
//+ QL_SCIENTIFIC
+ " (error = " + error + ")");
}
}
}
public void testSobolSkipping()
{
//("Testing Sobol sequence skipping...");
ulong seed = 42;
int[] dimensionality = { 1, 10, 100, 1000 };
ulong[] skip = { 0, 1, 42, 512, 100000 };
SobolRsg.DirectionIntegers[] integers = {SobolRsg.DirectionIntegers.Unit,
SobolRsg.DirectionIntegers.Jaeckel,
SobolRsg.DirectionIntegers.SobolLevitan,
SobolRsg.DirectionIntegers.SobolLevitanLemieux};
for (int i = 0; i < integers.Length; i++)
{
for (int j = 0; j < dimensionality.Length; j++)
{
for (int k = 0; k < skip.Length; k++)
{
// extract n samples
SobolRsg rsg1 = new SobolRsg(dimensionality[j], seed, integers[i]);
for (int l = 0; l < (int)skip[k]; l++)
rsg1.nextInt32Sequence();
// skip n samples at once
SobolRsg rsg2 = new SobolRsg(dimensionality[j], seed, integers[i]);
rsg2.skipTo(skip[k]);
// compare next 100 samples
for (int m = 0; m < 100; m++)
{
List<ulong> s1 = rsg1.nextInt32Sequence();
List<ulong> s2 = rsg2.nextInt32Sequence();
for (int n = 0; n < s1.Count; n++)
{
if (s1[n] != s2[n])
{
Assert.Fail("Mismatch after skipping:"
+ "\n size: " + dimensionality[j]
+ "\n integers: " + integers[i]
+ "\n skipped: " + skip[k]
+ "\n at index: " + n
+ "\n expected: " + s1[n]
+ "\n found: " + s2[n]);
}
}
}
}
}
}
}
//typedef SobolRsg generator_type;
public SobolFactory(SobolRsg.DirectionIntegers unit)
{
unit_=unit;
}
