FAST GENERATION OF LOW-DISCREPANCY SEQUENCES

The paper presents a fast implementation of a constructive method to generate a special class of low-discrepancy sequences which are based on Van Neumann-Kakutani transformations. Such sequences can be used in various simulation codes where it is necessary to generate a certain number of uniformly distributed random numbers on the unit interval. From a theoretical point of view the uniformity of a sequence is measured in terms of the discrepancy which is a special distance between a finite set of points and the uniform distribution on the unit interval. Numerical results are given on the cost efficiency of different generators on different hardware architectures as well as on the corresponding uniformity of the sequences. As an example for the efficient use of low-discrepancy sequences in a complex simulation code results are presented for the simulation of a hypersonic rarefied gas flow.