implementation of the SOBOL's sequences

RiskNeutral · March 24th, 2003, 5:51 pm

Hello Mdekerever,I have been trying to find a description or an actual implementation of a SOBOL sequences generator. I've tried the NR C++ but it didn't help much.I've just join Wilmott forum so I don't know the protocol yeat but I would like to ask you to send me your routine and some references of books where I can find an accessible exposition of the matter.Best Regards,RiskNeutral

siuwkw · March 24th, 2003, 8:22 pm

Hi, mdekereverCould you also send me a copy of your code please?Thanks,

lazy · March 26th, 2003, 7:28 pm

Hi, mdekereverI would also like a copy of your code and dll please?Thanksmy mail: whitesnow4@caramail.com

RedAlert · March 30th, 2003, 4:51 pm

Dear All,This code is easily available for all to use in Numerical Recipes....it probably takes about 20 minutes to type in the relevant functions.F.

Dostoevsky · January 12th, 2006, 7:46 pm

You can also get high dimensional Sobol Sequence generators ( up to D=1024 ) from www.broda.co.ukThese generators were developed by Sobol' himself.

sonic · January 15th, 2006, 12:10 pm

Hi MdekereverI want to get an implementation of SOBOL's sequences for my study on quasi-random variablesWould you please send me a copy in C++.Thanks for your help!!goang12345@yahoo.com.tw

rashmi · May 2nd, 2007, 5:10 am

Hi Mdekerever ,could u please send a copy of the sobol code in c++ to me too ?my mail-id is rashmirasmi@yahoo.co.inThanks in advance

kannansi · September 24th, 2008, 4:55 pm

hi..can u forward me your sobol sequence c++ code...I tried one available in the net..it complies, but i dont know how to call using a right funciton in excel.vba. pls let me know how i can call using excel/vba as to what parameters i should use (Byval or Byref) so that i can use in calculation of prices. Pls mail it to kannansingaravelu@gmail.com

Dostoevsky · October 26th, 2014, 9:54 am

A note of caution: the easiness of implementation doesn't imply efficiency: good Sobol' sequences are very difficult to construct. For comparison of various Sobol' sequence generators used in the industry read I. Sobol', D. Asotsky, A. Kreinin, S. Kucherenko. Construction and Comparison of High-Dimensional Sobol' Generators, 2011, Wilmott Journal, Nov, pp. 64-79 here