Convenient interface for getting a set of entries from a Halton Sequence. Typically needed for Monte Carlo integration. These are rough implementations of the code available Kolář and O'Shea (1993) and make no claim of coding efficiency or deep understanding. This package implements that algorithm which provides a substantial improvement in computational speed relative to existing packages (e.g. HaltonSequences.jl).
Exports HaltonSeq(base, skip, length, invcdf=identity), which is an iterator that returns a sequence of Halton draws of base b after discarding skip entries. These are returned as Rational{Int}s, and they can be collected into a Vector{Rational{Int}}, or copied to an AbstractArray, which can have eltypes sRational or AbstractFloat. Argument invcdf defaults to the identity function but can be switched to an inverse CDF to obtain draws from a particular distribution.
The iterator does not provide draws from a normal distribution but rather the low discrepancy Halton sequence over the interval invcdf argument to draws from a particular distribution. For example using StatsFuns: norminvcdf; HaltonSeq(2, 5000, 100, norminvcdf)
using StatsFuns
BASE = 2
SKIP = 5000
LENGTH = 1000
INVCDF = norminvcdf
# 1000 halton draws of base 2 starting at 1001
draws2 = collect(HaltonSeq(BASE, SKIP, LENGTH, INVCDF))
# preallocated
m,n = 10, 50
draws3 = Matrix{Float64}(undef, m, n)
HaltonSeq!(draws3, BASE, SKIP)- Add ability to use every
$k$ -th draw.
Kolář, Miroslav and Seamus O'Shea (1993). "Fast, portable, and reliable algorithm for the calculation of Halton numbers" Computers & Mathematics with Applications 25(7):3-13. https://doi.org/10.1016/0898-1221(93)90307-H