From c123ef8d8726a1c3af5dbbddafc18785ba14142e Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 18 Feb 2016 18:13:02 -0500
Subject: add Nlopt version of sobol which allows higher dimensions

---
 src/low_discrepancy.hpp | 73 ++++++++++++++++++++++++++++++++-----------------
 1 file changed, 48 insertions(+), 25 deletions(-)

(limited to 'src/low_discrepancy.hpp')

diff --git a/src/low_discrepancy.hpp b/src/low_discrepancy.hpp
index 6b3c1bd..bc8e820 100644
--- a/src/low_discrepancy.hpp
+++ b/src/low_discrepancy.hpp
@@ -8,6 +8,9 @@
 #include <algorithm>
 #include <numeric>
 #include <gsl/gsl_qrng.h>
+#ifdef NLOPT
+#include "nlopt-util.h"
+#endif
 
 class p_adic {
 	public: 
@@ -159,27 +162,32 @@ struct faure {
 
 
 struct sobol {
-	typedef std::vector<double> result_type;
-	sobol(int dimension) : dimension(dimension), result(dimension) {
-		q = gsl_qrng_alloc(gsl_qrng_sobol, dimension);
-	}
-	sobol(sobol const & o) : dimension(o.dimension) {
-		q = gsl_qrng_clone(o.q);
-		result = o.result;
-	}
+    typedef std::vector<double> result_type;
+    sobol(int dimension) : dimension(dimension), result(dimension) {
+#ifdef NLOPT
+        s = nlopt_sobol_create(dimension);
+#else
+        q = gsl_qrng_alloc(gsl_qrng_sobol, dimension);
+#endif
+    }
+#ifndef NLOPT
+    sobol(sobol const & o) : dimension(o.dimension) {
+        q = gsl_qrng_clone(o.q);
+        result = o.result;
+    }
     // constructeur move uniquement en C++11
     sobol(sobol && o) : dimension(o.dimension), q(o.q), result(std::move(o.result)) {
         o.dimension = 0;
         o.q = nullptr;
     }
-	sobol & operator=(sobol const & o) {
-		if (this != &o) {
-			dimension = o.dimension;
-			gsl_qrng_memcpy(q, o.q);
-			result = o.result;
-		}
-		return *this;
-	}
+    sobol & operator=(sobol const & o) {
+        if (this != &o) {
+            dimension = o.dimension;
+            gsl_qrng_memcpy(q, o.q);
+            result = o.result;
+        }
+        return *this;
+    }
     // operateur move uniquement en C++11
     sobol & operator=(sobol && o) {
         if (this != &o) {
@@ -191,15 +199,30 @@ struct sobol {
         }
         return *this;
     }
-	~sobol() { gsl_qrng_free(q); }
-	result_type operator()() {
-		gsl_qrng_get(q, &(*result.begin()));
-		return result;
-	}
-	protected: 
-		int dimension;
-		gsl_qrng * q;
-		result_type result;
+#endif
+    ~sobol() {
+#ifdef NLOPT
+        nlopt_sobol_destroy(s);
+#else
+        gsl_qrng_free(q);
+#endif
+    }
+    result_type operator()() {
+#ifdef NLOPT
+        nlopt_sobol_next01(s, result.data());
+#else
+        gsl_qrng_get(q, result.data());
+#endif
+        return result;
+    }
+protected:
+    int dimension;
+#ifdef NLOPT
+    nlopt_sobol s;
+#else
+    gsl_qrng * q;
+#endif
+    result_type result;
 };
 
 #endif
-- 
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