sobol: Quasi-Monte Carlo Sobol Sequence Generator
Provides a fast and efficient implementation of Sobol sequences
for quasi-Monte Carlo methods. The Sobol sequence is a low-discrepancy
sequence with the property that for all values of N, its subsequence
x1, ..., xN has a low discrepancy. It can be used to generate
quasi-random numbers for use in Monte Carlo integration and other
simulation methods. This implementation is based on the algorithms
described by Bratley and Fox (1988) <doi:10.1145/42288.214372> and
uses direction numbers from Joe and Kuo (2008) <doi:10.1145/1358628.1358630>.
The package includes both batch and incremental interfaces with support
for arbitrary starting indices and reproducible sequences. It uses 'Rcpp'
for efficient 'C++' integration.
| Version: |
1.0.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
Rcpp (≥ 1.1.0), methods, checkmate |
| LinkingTo: |
Rcpp |
| Suggests: |
testthat (≥ 3.0.0), ggplot2, microbenchmark |
| Published: |
2026-05-18 |
| DOI: |
10.32614/CRAN.package.sobol (may not be active yet) |
| Author: |
Angel Robles [aut, cre],
Ilya M. Sobol [ctb] (Original Sobol sequence algorithm),
Paul Bratley [ctb] (Algorithm implementation reference),
Bennett L. Fox [ctb] (Algorithm implementation reference),
Stephen Joe [ctb] (Direction numbers and primitive polynomials),
Frances Y. Kuo [ctb] (Direction numbers and primitive polynomials) |
| Maintainer: |
Angel Robles <a.l.robles.fernandez at gmail.com> |
| BugReports: |
https://github.com/alrobles/sobol/issues |
| License: |
GPL (≥ 3) |
| URL: |
https://alrobles.github.io/sobol/ |
| NeedsCompilation: |
yes |
| CRAN checks: |
sobol results |
Documentation:
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