Hi I am trying to generate correlated quasi random numbers using a sobol sequence in matlab. My Problem is the Following: Using "standard" random numbers it is easy to generate the 6 correlated random variables (NumberOfSteps X NumberOfSimulations) I need, using a cholesky decomposition:
L = chol(CorrelationMatrix,"lower"); for i=1:NumberOfSimulations Z = L*randn(4,NumberOfSteps); for t=2:NumberOfSteps .....Z1(i,t); .....Z2(i,t);
Since i only want to generate the sequence once (very time consuming) the only way i found to generate two correlated r.v. is the following:
Ps = sobolset(NumberOfSteps); Ps = scramble(Ps,'MatousekAffineOwen'); U = net(Ps,NumberOfSimulations); Z1 = norminv(U); Z2 = Rho.*Z1 + sqrt(1-Rho^2).*randn(NumberOfSimulations,NumberOfSteps);
Unfortunately I have No idea how I can extend this to 6 correlated random varibles. Can anyone help me?
Best regards, Alex