Sobol quasi-random sequence generator

This is generator of Sobol quasi-random sequence (aka Niederreiter sequence). Use free of charge for any purposes, including commercial use.

Sobol quasi-random numbers are great. They are very uniform, and very fast to generate. RNGSobol class generates N-dimensional vectors (N is customizable via compile-time constant), each vector corresponds to unsigned seed. That means that Sequence of seeds (e.g. 128, 129, 130, ... 500) corresponds to sequence of vectors that are uniformly distributed in N-dimensional space. You don't have to generate the whole vector. Class generates each vector coordinate independently of the others.

Generator comes with ready-to-run unit test. Headers are freely downloadable. The .cpp and solution files can be downloaded after registration.

  1. RNGSobol.h
  2. MyMisc.h