sobol.hpp

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#pragma once
 
#include <array>
#include <cstddef>
#include <cstdint>
#include <vector>
 
namespace quant::qmc {
 
class SobolSequence {
  public:
    static constexpr std::size_t kMaxSupportedDimension = 64;
    static constexpr std::size_t kMaxBits = 64;
 
    SobolSequence(std::size_t dimension, bool scrambled = false, std::uint64_t seed = 0);
 
    std::size_t dimension() const { return dimension_; }
 
    void generate(std::uint64_t index, double* out) const;
    std::vector<double> generate(std::uint64_t index) const;
 
  private:
    struct DirectionRow {
        std::array<std::uint64_t, kMaxBits> values{};
    };
 
    std::size_t dimension_;
    std::vector<DirectionRow> directions_;
    std::vector<std::uint64_t> scramble_; // digital shift per dimension
};
 
} // namespace quant::qmc