Constructing Sobol Sequences with Better Two-Dimensional Projections

  • Authors:
  • Stephen Joe;Frances Y. Kuo

  • Affiliations:
  • stephenj@math.waikato.ac.nz;f.kuo@unsw.edu.au

  • Venue:
  • SIAM Journal on Scientific Computing
  • Year:
  • 2008

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Abstract

Direction numbers for generating Sobol$'$ sequences that satisfy the so-called Property A in up to 1111 dimensions have previously been given in Joe and Kuo [ACM Trans. Math. Software, 29 (2003), pp. 49-57]. However, these Sobol$'$ sequences may have poor two-dimensional projections. Here we provide a new set of direction numbers alleviating this problem. These are obtained by treating Sobol$'$ sequences in $d$ dimensions as $(t,d)$-sequences and then optimizing the $t$-values of the two-dimensional projections. Our target dimension is 21201.