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CrimsonKodo
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Posts: 38
Joined: February 12th, 2015, 3:37 pm

MultiThreaded Sobol Sequences

February 5th, 2016, 3:15 pm

Hi,Any references on how to create quasi-random sobol sequeneces when in multithreading ?Thanks
 
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Cuchulainn
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MultiThreaded Sobol Sequences

February 5th, 2016, 7:21 pm

I remember @pcaspers doing some nice stuff in Quantlib, not sure if it was exactly Sobol, however.
Last edited by Cuchulainn on February 7th, 2016, 11:00 pm, edited 1 time in total.
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mj
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Joined: December 20th, 2001, 12:32 pm

MultiThreaded Sobol Sequences

February 28th, 2016, 9:13 am

there's a GPU Sobol generator in the CUDA SDK
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