FAURE is a MATLAB library which computes elements of the Faure quasirandom sequence.
A quasirandom or low discrepancy sequence, such as the Faure, Halton, Hammersley, Niederreiter or Sobol sequences, is "less random" than a pseudorandom number sequence, but more useful for such tasks as approximation of integrals in higher dimensions, and in global optimization. This is because low discrepancy sequences tend to sample space "more uniformly" than random numbers. Algorithms that use such sequences may have superior convergence. Faure sequences, in particular, seem to have become popular in mathematical finance simulations.
FAURE is adapted from code in ACM TOMS Algorithm 647. The original, true, correct version of ACM TOMS Algorithm 647 is available in the TOMS subdirectory of the NETLIB web site.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
FAURE is available in a C++ version and a FORTRAN90 version and a MATLAB version.
CVT, a MATLAB library which computes elements of a Centroidal Voronoi Tessellation.
FAURE, a dataset directory which contains files of sample Faure datasets.
FAURE_DATASET, a MATLAB program which creates a Faure quasirandom dataset.
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HALTON, a MATLAB library which computes elements of a Halton quasirandom sequence.
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LATIN_CENTER, a MATLAB library which computes elements of a Latin Hypercube dataset, choosing center points.
LATIN_EDGE, a MATLAB library which computes elements of a Latin Hypercube dataset, choosing edge points.
LATIN_RANDOM, a MATLAB library which computes elements of a Latin Hypercube dataset, choosing points at random.
LCVT, a MATLAB library which computes a latinized Centroidal Voronoi Tessellation.
LATTICE_RULE, a MATLAB library which approximates multidimensional integrals using lattice rules.
NIEDERREITER2, a MATLAB library which computes elements of a Niederreiter quasirandom sequence with base 2.
SOBOL, a MATLAB library which computes elements of a Sobol quasirandom sequence.
TOMS647, a FORTRAN90 library which is a version of ACM TOMS algorithm 647, for evaluating Faure, Halton and Sobol sequences.
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VAN_DER_CORPUT, a MATLAB library which computes elements of a van der Corput quasirandom sequence.