Tuning the generation of sobol sequence with owen scrambling

Authors:
Emanouil Atanassov;Aneta Karaivanova;Sofiya Ivanovska
Affiliations:
Institute for Parallel Processing, Bulgarian Academy of Sciences, Sofia, Bulgaria;Institute for Parallel Processing, Bulgarian Academy of Sciences, Sofia, Bulgaria;Institute for Parallel Processing, Bulgarian Academy of Sciences, Sofia, Bulgaria
Venue:
LSSC'09 Proceedings of the 7th international conference on Large-Scale Scientific Computing
Year:
2009

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Abstract

Sobol sequence is the most widely used low discrepancy sequence for numerical solving of multiple integrals and other quasi-Monte Carlo computations Owen first proposed scrambling of this sequence through permutation in a manner that maintained its low discrepancy Scrambling is necessary not only for error analysis but for parallel implementations Good scrambling is especially important for GRID applications However, scrambling is often difficult to implement and time consuming In this paper we propose fast generation of Sobol sequence with Owen scrambling, tuned to specific hardware Numerical and timing results, demonstrating the advantages of our approach are presented and discussed.