Add randomized halton sequence #108
Merged
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
added 3 commits
January 29, 2024 15:24
Implement algorithm by A. Owen to sample a randomized halton sequence. Created RandomizedHaltonSample <: RandomSamplingAlgorithm.
ChrisRackauckas
approved these changes
Feb 1, 2024
|
Thanks! |
Closed
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Checklist
contributor guidelines, in particular the SciML Style Guide and
COLPRAC.
Additional context
This PR adds the randomized Halton sequence algorithm as presented in A randomized Halton algorithm in R (Owen, 2017). Since the algorithm doesn't scramble an existing deterministic sequence but directly creates the random samples, the decision was made to implement it as a 'RandomSamplingAlgorithm'.
The algorithm is implemented in line with the pseudo code presented in the paper.
The random sequence retains all properties of the Halton sequence. Therefore, we reused the present test for the Halton sequence for the new randomized version.