last modified: 26-MAY-1993 | catalog | categories | new | search |

IAEA1260 LPTAU.

LPTAU, Quasi Random Sequence Generator

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1. NAME OR DESIGNATION OF PROGRAM:  LPTAU.
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2. COMPUTERS
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Program name Package id Status Status date
LPTAU IAEA1260/02 Tested 26-MAY-1993

Machines used:

Package ID Orig. computer Test computer
IAEA1260/02 IBM PC DEC VAX 6000
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3. DESCRIPTION OF PROGRAM OR FUNCTION

LPTAU generates quasi random sequences. These are uniformly distributed sets of L=M**N points in  the N-dimensional unit cube: I**N=[0,1]x...x[0,1]. These sequences are used as nodes for multidimensional integration; as searching points in global optimization; as trial points in multicriteria decision making; as quasi-random points for quasi Monte Carlo algorithms.
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4. METHOD OF SOLUTION:  Uses LP-TAU sequence generation (see references).
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5. RESTRICTIONS ON THE COMPLEXITY OF THE PROBLEM

The number of points that can be generated is L < 2**30. The dimension of the space cannot exceed 51.
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6. TYPICAL RUNNING TIME:
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7. UNUSUAL FEATURES OF THE PROGRAM

Unlike pseudo-random sequences, quasi-random sequences provide uniform distribution in spaces with dimensions higher than three.
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8. RELATED AND AUXILIARY PROGRAMS:
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9. STATUS
Package ID Status date Status
IAEA1260/02 26-MAY-1993 Tested at NEADB
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10. REFERENCES:
IAEA1260/02, included references:
- I.M. Sobol', V.I. Turchaninov, Yu.L. Levitan, B.V. Shukhman:
  "Quasi-Random Sequence Generators"
  Keldysh Institute of Applied Mathematics,
  Russian Acamdey of Sciences, Moscow (1992).
- I.M. Sobol':
  Project "Global Sensitivity Estimates"
  Moscow (April 1993).
- I.M. Sobol':
  "On the Systematic Search in a Hypercube"
  Reprint from Siam J. Numer. Anal. Vol.16, No.5 (October 1979).
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11. MACHINE REQUIREMENTS

Should run on most computer platforms. (The report contains also coding for C language.)
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12. PROGRAMMING LANGUAGE(S) USED
Package ID Computer language
IAEA1260/02 FORTRAN+C
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13. OPERATING SYSTEM UNDER WHICH PROGRAM IS EXECUTED:  VMS; MS-DOS.
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14. OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS:
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15. NAME AND ESTABLISHMENT OF AUTHORS

          Prof. Ilya M. Sobol
          National Center for Mathematical Modelling
          Academy of Sciences the CIS
          Moscow 125047
          Miusskaya pl. 4A
          Russian Federation
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16. MATERIAL AVAILABLE
IAEA1260/02
File name File description Records
IAEA1260_02.001 Information File 63
IAEA1260_02.002 JCL for installation and run of sample prob. 13
IAEA1260_02.003 Main Program for Sample Problem . 9
IAEA1260_02.004 LPTAU Quasi Random Number Generator . 503
IAEA1260_02.005 LPTAU Quasi R.N.G. (PC version) (FORTRAN) . 448
IAEA1260_02.006 LPTAU Quasi R.N.G. (PC version) (C) . 425
IAEA1260_02.007 Sample Problem Output (unit 09) . 1024
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17. CATEGORIES
  • P. General Mathematical and Computing System Routines

Keywords: random number generators.