QuasiRandom.FaureSequence Method

public static IEnumerable<Vector<double>> FaureSequence(
	int dimension,
	int length
)

Public Shared Function FaureSequence ( 
	dimension As Integer,
	length As Integer
) As IEnumerable(Of Vector(Of Double))

public:
static IEnumerable<Vector<double>^>^ FaureSequence(
	int dimension, 
	int length
)

static member FaureSequence : 
        dimension : int * 
        length : int -> IEnumerable<Vector<float>> 

Parameters

dimension  Int32

The dimension of the vectors in the sequence.

length  Int32

The length of the sequence.

Return Value

Use the FaureSequence(Int32, Int32) method to enumerate a Fauré sequence. A Fauré sequence is one kind of quasi-random sequence. Quasi-random sequences, also called low discrepancy sequences, are sequences of vectors that progressively cover a multi-dimensional space with points that are uniformly distributed.

The best known algorithm for generating quasi-random sequences is due to the French mathematician Henri Fauré. Fauré sequences are popular in mathematical finance simulations.

The current value is a read-only vector with mutable values.

Reference