Recommendations for Low Discrepancy (e.g. Sobol) quasi-random sequences in Python/SciPy?

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臣服心动
臣服心动 2020-12-15 11:10

I would like to use a quasi-random sequence, specifically Sobol, within a SciPy based simulation. Any recommendations on existing, efficient packages?

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  •  不知归路
    2020-12-15 11:32

    For Sobol Sequences try sobol_seq.

    Generally speaking the best package I've found for dealing with quasirandom sequences is diversipy.

    There are also packages that focus on specific implementations, for example sudoku_lhs deals with Latin Hypercubes and the Sudoku-type Constraint variant.

    pyDOE implements at least Latin Hypercube (maybe more).

    The most interesting package I found is py-design, which creates a wrapper for Fortran 90 codes on 15 or so methods. Unfortunately it does not seem to work (some assets seem to be missing).

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