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Faster generation of Sobol samples #119

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Merged
ChrisRackauckas merged 2 commits into from
Jun 12, 2024
Merged

Faster generation of Sobol samples #119

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cc2a34f
Faster generation of Sobol samples
devmotion Jun 12, 2024
c71e8fa
Update Project.toml
devmotion Jun 12, 2024
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4 changes: 2 additions & 2 deletions Project.toml
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "QuasiMonteCarlo"
uuid = "8a4e6c94-4038-4cdc-81c3-7e6ffdb2a71b"
authors = ["ludoro <ludovicobessi@gmail.com>, Chris Rackauckas <accounts@chrisrackauckas.com>"]
version = "0.3.3"
version = "0.3.4"

[deps]
Accessors = "7d9f7c33-5ae7-4f3b-8dc6-eff91059b697"
Expand Down Expand Up @@ -50,4 +50,4 @@ StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

[targets]
test = ["Aqua", "Combinatorics", "Distributions", "HypothesisTests", "IntervalArithmetic", "LinearAlgebra", "Primes", "Random", "Statistics", "StatsBase", "Test"]
test = ["Aqua", "Combinatorics", "Distributions", "HypothesisTests", "IntervalArithmetic", "LinearAlgebra", "Primes", "Random", "Statistics", "StatsBase", "Test"]
23 changes: 20 additions & 3 deletions src/Sobol.jl
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Expand Up @@ -8,7 +8,24 @@ Base.@kwdef @concrete struct SobolSample <: DeterministicSamplingAlgorithm
end

function sample(n::Integer, d::Integer, S::SobolSample, T = Float64)
s = Sobol.SobolSeq(zeros(T, d), ones(T, d))
skip(s, n)
return randomize(reduce(hcat, [Sobol.next!(s) for i in 1:n]), S.R)
if n < 0
throw(ArgumentError("number of samples must be non-negative"))
end

seq = Matrix{T}(undef, d, n)
if n == 0
return seq
end

# Use function barrier since `Sobol.SobolSeq(d)` can't be inferred
return _sample!(seq, Sobol.SobolSeq(d), S.R)
end

function _sample!(seq::AbstractMatrix, s::Sobol.SobolSeq, R::RandomizationMethod)
n = size(seq, 2)
Sobol.skip!(s, n, @view(seq[:, begin]))
for x in eachcol(seq)
Sobol.next!(s, x)
end
return randomize(seq, R)
end