pfhedge.stochastic.randn_sobol_boxmuller¶

pfhedge.stochastic.randn_sobol_boxmuller(*size, dtype=None, device=None, scramble=True, seed=None)[source]¶

Returns a tensor filled with random numbers obtained by a Sobol sequence applied with the Box-Muller transformation.

The outputs should be normal distribution with mean 0 and variance 1 (also called the standard normal distribution).

Parameters

size (int…) – a sequence of integers defining the shape of the output tensor. Can be a variable number of arguments or a collection like a list or tuple.
dtype (torch.dtype, optional) – The desired data type of returned tensor. Default: If None, uses a global default (see torch.set_default_tensor_type()).
device (torch.device, optional) – The desired device of returned tensor. Default: If None, uses the current device for the default tensor type (see torch.set_default_tensor_type()). device will be the CPU for CPU tensor types and the current CUDA device for CUDA tensor types.

Returns

torch.Tensor

Examples

>>> from pfhedge.stochastic import randn_sobol_boxmuller
>>>
>>> _ = torch.manual_seed(42)
>>> output = randn_sobol_boxmuller(4, 3)
>>> output
tensor([[ 0.0559,  0.4954, -0.8578],
        [-0.7492, -1.0370, -0.4778],
        [ 0.1651,  0.0430, -2.0368],
        [ 1.1309, -0.1779,  0.0796]])