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FriesischScott / UncertaintyQuantification.jl

Uncertainty Quantification in Julia
MIT License
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Add randomized QMC #143

Closed mlsuh closed 5 months ago

mlsuh commented 7 months ago

Using methods from QuasiMonteCarlo.jl

Closes #144.

codecov[bot] commented 7 months ago

Codecov Report

Attention: 6 lines in your changes are missing coverage. Please review.

Comparison is base (e62374b) 98.81% compared to head (5795b41) 98.27%.

Files Patch % Lines
src/simulations/montecarlo.jl 86.95% 6 Missing :warning:
Additional details and impacted files ```diff @@ Coverage Diff @@ ## master #143 +/- ## ========================================== - Coverage 98.81% 98.27% -0.54% ========================================== Files 27 27 Lines 1010 1046 +36 ========================================== + Hits 998 1028 +30 - Misses 12 18 +6 ```

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FriesischScott commented 6 months ago

Based on the feedback from the QMC.jl devs we need to restrict lattice rules to shifting and allows scrambling only for digital nets (sobol, faure (to be added)).

Then we should contribute the rhalton sampling to the QMC package to allow for scrambled halton sequences. https://arxiv.org/pdf/1706.02808.pdf