/
sobol.h
35 lines (28 loc) · 1.14 KB
/
sobol.h
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//
// Dale Roberts <dale.o.roberts@gmail.com>
//
#pragma once
#include <vector>
#include <boost/numeric/ublas/matrix.hpp>
using boost::numeric::ublas::column_major;
using boost::numeric::ublas::matrix;
using std::vector;
extern "C" {
void sobol_(double *QN, int *n, int *dimen, double *quasi, int *ll, int *count, int *SV, int *iflag, int *iseed, int *init, int *transform);
}
void InitSobol(matrix<double, column_major>& QN) {
int n = QN.size1(), dimen = QN.size2(), maxbit = 30;
int iflag = 0, transform = 0, iseed = 1, init = 1, ll;
matrix<int, column_major> SV(dimen, maxbit);
vector<double> quasi(dimen);
int count;
sobol_(&QN.data()[0], &n, &dimen, &quasi[0], &ll, &count, &SV.data()[0], &iflag, &iseed, &init, &transform);
}
void ScrambleSobol(const int seed, matrix<double, column_major>& QN) {
int n = QN.size1(), dimen = QN.size2(), maxbit = 30;
int iflag = 1, transform = 0, iseed = seed, init = 1, ll;
matrix<int, column_major> SV(dimen, maxbit);
vector<double> quasi(dimen);
int count = 0;
sobol_(&QN.data()[0], &n, &dimen, &quasi[0], &ll, &count, &SV.data()[0], &iflag, &iseed, &init, &transform);
}