Change the random number generator in Matlab function

问题

I have a task to complete that requires quasi-random numbers as input, but I notice that the Matlab function I want to use does not have an option to select any of the quasi generators I want to use (e.g. Halton, Sobol, etc.). Matlab has them as stand alone functions and not as options in the ubiquitous 'randn' and 'rng' functions. What MatLab uses is the Mersenne Twister, a pseudo generator. So for instance the copularnd uses 'randn'/'rng' which is based on pseudo random numbers....

Is there a way to incorporate them into the rand or rng functions embedded in other code (e.g.copularnd)? Any pointers would be much appreciated. Note; 'copularnd' calls 'mvnrnd' which in turn uses 'randn' and then pulls 'rng'...

回答1:

First you need to initialize the haltonset using the leap, skip, and scramble properties. You can check the documents but the easy description is as follows:

Scramble - is used for shuffling the points
Skip - helps to exclude a range of points from the set
Leap - is the size of jump from the current selected point to the next one. The points in between are ignored.

Now you can built a haltonset object:

p = haltonset(2,'Skip',1e2,'Leap',1e1);
p = scramble(p,'RR2');

This makes a 2D halton number set by skipping the first 100 numbers and leaping over 10 numbers. The scramble method is 'PR2' which is applied in the second line. You can see that many points are generated:

p = 

Halton point set in 2 dimensions (818836295885536 points)

Properties:
              Skip : 100
              Leap : 10
    ScrambleMethod : RR2

When you have your haltonset object, p, you can access the values by just selecting them:

x = p(1:10,:)

Notice: So, you need to create the object first and then use the generated points. To get different results, you can play with Leap and Scramble properties of the function. Another thing you can do is to use a uniform distribution such as randi to select numbers each time from the generated points. That makes sure that you are accessing uniformly random parts of the dataset each time.

For instance, you can generate a random index vector (4 points in this example). And then use those to select points from the halton points.

>> idx = randi(size(p,1),1,4)

idx =

   1.0e+14 *

    3.1243    6.2683    6.5114    1.5302

>> p(idx,:)

ans =

    0.5723    0.2129
    0.8918    0.6338
    0.9650    0.1549
    0.8020    0.3532

回答2:

link

'qrandstream' may be the answer I am looking for....with 'qrand' instead of 'rand'

e.g..from MatLab doc

p = haltonset(1,'Skip',1e3,'Leap',1e2);
p = scramble(p,'RR2');
q = qrandstream(p);

nTests = 1e5;
sampSize = 50;
PVALS = zeros(nTests,1); 
for test = 1:nTests
    X = qrand(q,sampSize);
    [h,pval] = kstest(X,[X,X]);
    PVALS(test) = pval;
end

I will post my solution once I am done :)

来源：https://stackoverflow.com/questions/34236269/change-the-random-number-generator-in-matlab-function

标签

matlab

random