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Thread Subject:
sobol points and correlation

Subject: sobol points and correlation

From: weiwei

Date: 10 May, 2014 21:08:09

Message: 1 of 1

Dear All,

I have a trouble with using sobol set. I searched for a while but I couldn't find a solution. Here is the issue. If possible, please give me a hint.

I want to get n*d quasi-uniform random number for m times. No correlation between different dimensions. No correlation for the same dimension at different times.

Say n = 2^8, d=2, m=2.

I wish to use sobol to improve the quality. No skip, no leap, no scramble at this moment.

A simple test:
n = 2^8
d=2
m=2
p = sobolset(d);
Urand1 = p(1:n,:);
Urand2 = p(n+1:m*n,:);
corr(Urand1)
corr(Urand1)
corr([Urand1(:,1),Urand2(:,1)])

I realize sobol cannot produce: "No correlation for the same dimension at different times."

Without going back to the vanilla random number generator, is there any way to achieve the goal by sobol?

I guess I must mess something up. But I really have no idea how to work around.

Thanks a lot~

Sandro


 

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