65 lines
1.9 KiB
C++
65 lines
1.9 KiB
C++
/* Interface to quasi Monte Carlo sequences (à la Sobol) routines.
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*
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* Copyright © 2010-2023 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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*/
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#include <cstdint>
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#include <dynblas.h> // For the FORTRAN_WRAPPER macro
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constexpr int DIM_MAX = 1111;
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// Interface to Fortran code
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extern "C"
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{
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#define i8_sobol FORTRAN_WRAPPER(i8_sobol)
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void i8_sobol(const int64_t *dim_num, int64_t *seed, double *quasi);
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}
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inline void
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next_sobol(int dim_num, int64_t *seed, double *quasi)
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{
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int64_t dim_num2 {dim_num};
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i8_sobol(&dim_num2, seed, quasi);
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}
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inline int64_t
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sobol_block(int dimension, int block_size, int64_t seed, double *block)
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{
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for (int iter = 0; iter < block_size; iter++)
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next_sobol(dimension, &seed, &block[iter*dimension]);
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return seed;
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}
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template<typename T>
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void
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expand_unit_hypercube(int dimension, int block_size, T *block, const T *lower_bound, const T *upper_bound)
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{
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T *hypercube_length = new T[dimension];
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for (int dim = 0; dim < dimension; dim++)
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hypercube_length[dim] = upper_bound[dim]-lower_bound[dim];
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int base = 0;
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for (int sim = 0; sim < block_size; sim++)
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{
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for (int dim = 0; dim < dimension; dim++)
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block[base+dim] = lower_bound[dim] + hypercube_length[dim]*block[base+dim];
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base += dimension;
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}
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delete[] hypercube_length;
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}
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