Sampling

Sampling methods are provided by the QuasiMonteCarlo package.

The syntax for sampling in an interval or region is the following:

sample(n, lb, ub, S::SamplingAlgorithm)

where lb and ub are, respectively, the lower and upper bounds. There are many sampling algorithms to choose from:

• Grid sample

sample(n, lb, ub, GridSample())

• Uniform sample

sample(n, lb, ub, RandomSample())

• Sobol sample

sample(n, lb, ub, SobolSample())

• Latin Hypercube sample

sample(n, lb, ub, LatinHypercubeSample())

• Low Discrepancy sample

sample(n, lb, ub, HaltonSample())

• Sample on section

sample(n, lb, ub, SectionSample())

Adding a new sampling method

Adding a new sampling method is a two-step process:

1. Adding a new SamplingAlgorithm type
2. Overloading the sample function with the new type.

Example

struct NewAmazingSamplingAlgorithm{OPTIONAL} <: QuasiMonteCarlo.SamplingAlgorithm end

function sample(n, lb, ub, ::NewAmazingSamplingAlgorithm)
    if lb isa Number
        ...
        return x
    else
        ...
        return Tuple.(x)
    end
end