Deterministic Gaussian Sampling

Deterministic sampling via orthogonal inverse transform of low-discrepancy Fibonacci grids.

Installation

Install directly from GitHub:

pip install git+https://github.com/KIT-ISAS/deterministic_gaussian_sampling_fibonacci.git

Usage example

from deterministic_gaussian_sampling_fibonacci import sample_gaussian_fibonacci
import numpy as np

# sample_gaussian_fibonacci(mean, covariance_matrix, L_Vols, sample_type)
samples = sample_gaussian_fibonacci([1, 1], np.eye(2), 100, "Fibonacci")

Supported sample sizes and types

dim	ClassicalFrolov (LVols)	ImprovedFrolov (LVols)	Fibonacci (LVols)	Galois (LVols)
2	100, 1000, 10000, 100000	100, 1000, 10000, 100000	100, 1000, 10000, 100000	-
3	100, 1000, 10000, 100000	100, 1000, 10000, 100000	100, 1000, 10000, 100000	-
4	100, 1000, 10000, 100000	100, 1000, 10000, 100000	100, 1000, 10000, 100000	-
5	100, 1000, 10000, 100000	100, 1000, 10000, 100000	100, 1000, 10000, 100000	100, 1000, 10000, 100000
6	1000	100, 1000, 10000, 100000	100, 1000, 10000, 100000	100, 1000, 10000, 100000