Generating low discrepancy quasi-random sequences in python/numpy/scipy? Generating low discrepancy quasi-random sequences in python/numpy/scipy? numpy numpy

Generating low discrepancy quasi-random sequences in python/numpy/scipy?


I think the best alternative for Low Discrepancy sequences in Python is Sensitivity Analysis Library (SALib):

https://github.com/SALib/SALib

I think this is an active project and you can contact the author to check if the functionalities you need are already implemented. If that doesn't solve your problem, Corrado Chisari ported a SOBOL version made in Matlab (by John Burkardt) to Python, you can access it here:

http://people.sc.fsu.edu/~jburkardt/py_src/sobol/sobol.html

Someone cleaned up the comments in these sources and put them in the format of docstrings. It's much more readable and you can access it here:

https://github.com/naught101/sobol_seq


Chaospy is also a valid option. One can select several approaches for low-discrepancy sampling (including 'Sobol, latin hypercube, etc) - for more details see the documentation.


Scipy has this option now http://scipy.github.io/devdocs/generated/scipy.stats.qmc.Sobol.html

PyTorch also proves option of generating sobol random numbers. It allows upto a dimension of ~1k and has an option to switch on scrambling.https://pytorch.org/docs/stable/generated/torch.quasirandom.SobolEngine.html