vdc
v0.2.1
Published
van der Corput low-discrepancy sequences
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VDC
Pure JS implementation of van der Corput low-discrepancy sequences.
Installation
With npm:
$ npm install vdc
In the browser:
<script src="vdc.js"></script>
The browser exposes a variable VDC
Usage
The exported function VDC
accepts a opts
object with the following fields:
b
(default2
) base for the sequence.n
(default0
) starting index for the sequence.
Calling without arguments will default to the aforementioned values.
The object returned by VDC
exposes a next()
method to get the next element.
The field last
holds the most recently generated value (accessing the field
does not trigger a recalculation)
For example:
//var VDC = require('vdc') // uncomment this line if in node
var opts = {'n':0, 'b':2};
var generator = VDC(opts);
for(var i = 0; i != 10; ++i) console.log(generator.next());
The expected output is
0 (0/1)
0.5 (1/2)
0.25 (1/4)
0.75 (3/4)
0.125 (1/8)
0.625 (5/8)
0.375 (3/8)
0.875 (7/8)
0.0625 (1/16)
0.5625 (9/16)
Testing
make test
will run the nodejs-based test.
make baseline
will generate the test baselines using Mathematica by explicitly
extracting and reversing the digits. The implementation is based off a tutorial
http://reference.wolfram.com/mathematica/CUDALink/tutorial/Applications.html
VanDerCorput[base_][len_] := Table[
With[{digits = Reverse@IntegerDigits[n, base]},
Sum[2^(-ii)*digits[[ii]], {ii, Length[digits]}]
], {n, len}]
Notes
0
is the first value. Some sources (notably Wikipedia) start the sequence at
1/2
, but others (Glasserman "Monte Carlo Methods in Financial Engineering")
claim that the original sequence definition started at 0
.
License
Please consult the attached LICENSE file for details. All rights not explicitly granted by the Apache 2.0 license are reserved by the Original Author.