wsobol.m

very good matlab of Monte carlo

%Searle Silverman
%Modification of Walt's Sobol algorithm

function SobD = wsobol(number,num_of_dims)

number = number-1;
number_of_directions=ceil(log2(number+1));
load soboldata
SobD=zeros([number+1,num_of_dims]);
%i=1 special case
i=1;  %For the first dimension
m=ones([1,number_of_directions]);
SobD(:,i)=sobolgenerator(number,m);

for i=2:num_of_dims
   poly=wdec2bas(SobolData(i-1,4),2);
   end_dir=find(SobolData(i-1,6:end)==0);
   if isempty(end_dir)
      m=dirnums(poly,number_of_directions,SobolData(i-1,5:end));
   else
      m=dirnums(poly,number_of_directions,SobolData(i-1,5:(5+end_dir(1))));
   end;
   SobD(:,i)=sobolgenerator(number,m);
end;