mardi 15 août 2017

Sobol values greater than 1 after Owen scrambling

The sobol() function in the randtoolbox (version 1.17) package in R (version 3.3.2) sometimes gives values greater than 1 (see example below). Is this a bug or does Owen scrambling generate values significantly outside the range of underlying sequence? I looked at the following reference and didn't find a mention of this issue.

I. Lirkov, S. Margenov, and J. Wasniewski (Eds.): LSSC 2009, LNCS 5910, pp. 459–466, 2010.

MWE:

library('randtoolbox')

sobolSeq = sobol(n=100000,dim=10,seed=84,scrambling=1)
print(max(sobolSeq ))

Output:

Warning message:
In sobol(n = 1e+05, dim = 10, seed = 84, scrambling = 1) :
  A call to sobol() raised an error by generating numerics greater or equal than 1.

[1] 1.999992




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