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implement qmc-randomization

Open mlsuh opened this issue 2 years ago • 2 comments

Using methods from QuasiMonteCarlo.jl

mlsuh avatar Nov 20 '23 10:11 mlsuh

Codecov Report

Attention: 6 lines in your changes are missing coverage. Please review.

Comparison is base (e62374b) 98.81% compared to head (5795b41) 98.27%.

Files Patch % Lines
src/simulations/montecarlo.jl 86.95% 6 Missing :warning:
Additional details and impacted files
@@            Coverage Diff             @@
##           master     #143      +/-   ##
==========================================
- Coverage   98.81%   98.27%   -0.54%     
==========================================
  Files          27       27              
  Lines        1010     1046      +36     
==========================================
+ Hits          998     1028      +30     
- Misses         12       18       +6     

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codecov[bot] avatar Nov 27 '23 15:11 codecov[bot]

Based on the feedback from the QMC.jl devs we need to restrict lattice rules to shifting and allows scrambling only for digital nets (sobol, faure (to be added)).

Then we should contribute the rhalton sampling to the QMC package to allow for scrambled halton sequences. https://arxiv.org/pdf/1706.02808.pdf

FriesischScott avatar Dec 21 '23 15:12 FriesischScott