Quasi-random number generator algorithms - GNU Scientific Library -- Reference Manual

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19.5 Quasi-random number generator algorithms

The following quasi-random sequence algorithms are available,

— Generator: gsl_qrng_niederreiter_2

This generator uses the algorithm described in Bratley, Fox, Niederreiter, ACM Trans. Model. Comp. Sim. 2, 195 (1992). It is valid up to 12 dimensions.

— Generator: gsl_qrng_sobol

This generator uses the Sobol sequence described in Antonov, Saleev, USSR Comput. Maths. Math. Phys. 19, 252 (1980). It is valid up to 40 dimensions.

— Generator: gsl_qrng_halton
— Generator: gsl_qrng_reversehalton

These generators use the Halton and reverse Halton sequences described in J.H. Halton, Numerische Mathematik 2, 84-90 (1960) and B. Vandewoestyne and R. Cools Computational and Applied Mathematics 189, 1&2, 341-361 (2006). They are valid up to 1229 dimensions.