Hello,I am trying to generate pseudo-random numbers for a simulation problem with high dimensionality (>100). Two questions:1. Can anyone recommend a specific type of quasi-random sequence? Many indicate Sobol is the best but I am not sure.2. Can anyone provide VBA code for implementation?Best rgds

sobol is fresh!many matlab codes for sobol on the net; i think vba is too slow

Ouyang, the Mersenne Twister is not a Low Discrepancy Sequence, i.e. it's not a quasi random sequence, but rather a pseudo random sequence, i.e. a "standard" random number sequence. It is however a really good sequence.Sorry for high-jacking this thread, but most people suggest that Sobol is best, however I've heard that this is based on asymtotic behaviour, and that for the Sobol sequence it takes a really long time before the asymtotic behaviour starts kicking in. I've heard that for most applications the generalized Faure sequence is preferable.Any comments on this? I'll see if I can dig up the reference.

if you compare the measure of discrepancy for various low discrepancy sequences to that of random uniforms, the lds "disperse better" than random uniforms only in low dimensions (say 2-5). I suspect that for your problem with 100 dimensions, you would get comparable "dispersion" with random uniforms.

Some of the issues related to Quasi Monte Carlo ( and Sobol sequences ) have been already covered here:http://www.wilmott.com/messageview.cfm? ... readid=149 http://www.wilmott.com/messageview.cfm? ... eadid=4298