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<title>QuantLib: RandomizedLDS Class Template Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_randomized_l_d_s.html">RandomizedLDS</a></div>
<h1>RandomizedLDS Class Template Reference</h1><!-- doxytag: class="QuantLib::RandomizedLDS" --><code>#include <ql/math/randomnumbers/randomizedlds.hpp></code>
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<a href="class_quant_lib_1_1_randomized_l_d_s-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class LDS, class PRS = RandomSequenceGenerator<MersenneTwisterUniformRng>><br>
class QuantLib::RandomizedLDS< LDS, PRS ></h3>
Randomized (random shift) low-discrepancy sequence.
<p>
Random-shifts a uniform low-discrepancy sequence of dimension <img class="formulaInl" alt="$ N $" src="form_36.png"> by adding (modulo 1 for each coordinate) a pseudo-random uniform deviate in <img class="formulaInl" alt="$ (0, 1)^N. $" src="form_170.png"> It is used for implementing Randomized Quasi Monte Carlo.<p>
The uniform low discrepancy sequence is supplied by LDS; the uniform pseudo-random sequence is supplied by PRS.<p>
Both class LDS and PRS must implement the following interface: <div class="fragment"><pre class="fragment"> LDS::sample_type LDS::nextSequence() <span class="keyword">const</span>;
<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> LDS::dimension() <span class="keyword">const</span>;
</pre></div><p>
<dl class="pre" compact><dt><b>Precondition:</b></dt><dd>LDS and PRS must have the same dimension <img class="formulaInl" alt="$ N $" src="form_36.png"></dd></dl>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000057">Warning:</a></b></dt><dd>Inverting LDS and PRS is possible, but it doesn't make sense.</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000022">Possible enhancements:</a></b></dt><dd>implement the other randomization algorithms</dd></dl>
<dl compact><dt><b><a class="el" href="test.html#_test000046">Tests:</a></b></dt><dd>correct initialization is tested. </dd></dl>
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<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3b59a3dd56521693efc68c221a2bf38"></a><!-- doxytag: member="QuantLib::RandomizedLDS::sample_type" ref="f3b59a3dd56521693efc68c221a2bf38" args="" -->
typedef <a class="el" href="struct_quant_lib_1_1_sample.html">Sample</a>< std::vector<br>
< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>sample_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b9c8b1032e33e44aab7d913df6b30a2a"></a><!-- doxytag: member="QuantLib::RandomizedLDS::RandomizedLDS" ref="b9c8b1032e33e44aab7d913df6b30a2a" args="(const LDS &ldsg, const PRS &prsg)" -->
</td><td class="memItemRight" valign="bottom"><b>RandomizedLDS</b> (const LDS &ldsg, const PRS &prsg)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fd982aebe39f5fb3b1d5b556c3909859"></a><!-- doxytag: member="QuantLib::RandomizedLDS::RandomizedLDS" ref="fd982aebe39f5fb3b1d5b556c3909859" args="(const LDS &ldsg)" -->
</td><td class="memItemRight" valign="bottom"><b>RandomizedLDS</b> (const LDS &ldsg)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5cd3bf450cb608c0a9c7c516a5d5009"></a><!-- doxytag: member="QuantLib::RandomizedLDS::RandomizedLDS" ref="d5cd3bf450cb608c0a9c7c516a5d5009" args="(Size dimensionality, BigNatural ldsSeed=0, BigNatural prsSeed=0)" -->
</td><td class="memItemRight" valign="bottom"><b>RandomizedLDS</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> dimensionality, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> ldsSeed=0, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> prsSeed=0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2ea25ac8138d4099afda3642057335ff"></a><!-- doxytag: member="QuantLib::RandomizedLDS::nextSequence" ref="2ea25ac8138d4099afda3642057335ff" args="() const " -->
const <a class="el" href="struct_quant_lib_1_1_sample.html">sample_type</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_randomized_l_d_s.html#2ea25ac8138d4099afda3642057335ff">nextSequence</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns next sample using a given randomizing vector <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8d216498c4107b3bca19b47a929407fc"></a><!-- doxytag: member="QuantLib::RandomizedLDS::lastSequence" ref="8d216498c4107b3bca19b47a929407fc" args="() const " -->
const <a class="el" href="struct_quant_lib_1_1_sample.html">sample_type</a> & </td><td class="memItemRight" valign="bottom"><b>lastSequence</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_randomized_l_d_s.html#a917583553cf612af05e8b75e7e161dc">nextRandomizer</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d089a89a18aa50ad2c64712cf5fb5e3d"></a><!-- doxytag: member="QuantLib::RandomizedLDS::dimension" ref="d089a89a18aa50ad2c64712cf5fb5e3d" args="() const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>dimension</b> () const </td></tr>
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="a917583553cf612af05e8b75e7e161dc"></a><!-- doxytag: member="QuantLib::RandomizedLDS::nextRandomizer" ref="a917583553cf612af05e8b75e7e161dc" args="()" -->
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<td class="memname">void nextRandomizer </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
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<p>
update the randomizing vector and re-initialize the low discrepancy generator
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