+/* Copyright (c) 2007 Massachusetts Institute of Technology
+ *
+ * Permission is hereby granted, free of charge, to any person obtaining
+ * a copy of this software and associated documentation files (the
+ * "Software"), to deal in the Software without restriction, including
+ * without limitation the rights to use, copy, modify, merge, publish,
+ * distribute, sublicense, and/or sell copies of the Software, and to
+ * permit persons to whom the Software is furnished to do so, subject to
+ * the following conditions:
+ *
+ * The above copyright notice and this permission notice shall be
+ * included in all copies or substantial portions of the Software.
+ *
+ * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+ * EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+ * MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+ * NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+ * LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+ * OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+ * WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+ */
+
+#include <stdlib.h>
+#include <stdio.h>
+#include <math.h>
+#include <time.h>
+#include "nlopt-util.h"
+
+#define MAXDIM 1111
+
+/* test integrand from Joe and Kuo paper ... integrates to 1 */
+static double testfunc(unsigned n, const double *x)
+{
+ double f = 1;
+ unsigned j;
+ for (j = 1; j <= n; ++j) {
+ double cj = pow((double) j, 0.3333333333333333333);
+ f *= (fabs(4*x[j-1] - 2) + cj) / (1 + cj);
+ }
+ return f;
+}
+
+int main(int argc, char **argv)
+{
+ unsigned n, j, i, sdim;
+ static double x[MAXDIM];
+ double testint_sobol = 0, testint_rand = 0;
+ nlopt_sobol s;
+ if (argc < 3) {
+ fprintf(stderr, "Usage: %s <sdim> <ngen>\n", argv[0]);
+ return 1;
+ }
+ nlopt_init_genrand(time(NULL));
+ sdim = atoi(argv[1]);
+ s = nlopt_sobol_create(sdim);
+ n = atoi(argv[2]);
+ nlopt_sobol_skip(s, n, x);
+ for (j = 1; j <= n; ++j) {
+ nlopt_sobol_next01(s, x);
+ testint_sobol += testfunc(sdim, x);
+ if (j < 100) {
+ printf("x[%u]: %g", j, x[0]);
+ for (i = 1; i < sdim; ++i) printf(", %g", x[i]);
+ printf("\n");
+ }
+ for (i = 0; i < sdim; ++i) x[i] = nlopt_urand(0.,1.);
+ testint_rand += testfunc(sdim, x);
+ }
+ nlopt_sobol_destroy(s);
+ printf("Test integral = %g using Sobol, %g using pseudorandom.\n",
+ testint_sobol / n, testint_rand / n);
+ printf(" error = %g using Sobol, %g using pseudorandom.\n",
+ testint_sobol / n - 1, testint_rand / n - 1);
+ return 0;
+}