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vdc

van der Corput low-discrepancy sequences

VDC

Pure JS implementation of van der Corput low-discrepancy sequences.

Available on npm vdc:

$ npm install vdc

The exported function VDC accepts a opts object with the following fields:

  • b (default 2) base for the sequence.
  • n (default 0) starting index for the sequence.

Calling without arguments will default to the aforementioned values.

The object returned by VDC exposes a next() method to get the next element.

The field last holds the most recently generated value (accessing the field does not trigger a recalculation)

var VDC = require('vdc')
 
var opts = {'n':0, 'b':2};
var generator = VDC(opts);
for(var i = 0; i != 10; ++i) console.log(generator.next());

The expected output is

0       (0/1)
0.5     (1/2)
0.25    (1/4)
0.75    (3/4)
0.125   (1/8)
0.625   (5/8)
0.375   (3/8)
0.875   (7/8)
0.0625  (1/16)
0.5625  (9/16)

0 is the first value. Some sources (notably Wikipedia) start the sequence at 1/2, but others (Glasserman "Monte Carlo Methods in Financial Engineering") claim that the original sequence definition started at 0.

Please consult the attached LICENSE file for details. All rights not explicitly granted by the Apache 2.0 license are reserved by the Original Author.