Halton draws

multi_halton.py

def halton(prime, N):
    step = 1;
    k = 0;
    x = [0];
    while(True):
        t = len(x);
        for i in range(1,prime):
            for j in range(t):
                x.append(i/(prime**step) + x[j])
                k = k + 1;
                if(k >= N):
                    y = norm.ppf(x)[1:];
                    return(y)
        step = step + 1;

        
def multi_halton(N, dim):
    z = np.empty((N,1))
    primes = [2,3,5,7,11,13,17,19,23,29,31,37,41];
    for i in range(dim):
        z = np.column_stack((z, halton(primes[i], N)))
    return(z[:, 1:])