You will need these three files:
R source code with documentation
generating matrices for up to 50 dimensions
generating matrices for up to 21021 dimensions
Place them in a directory. From within that directory in R type
Then, for example
rsobol(m=8,s=5) # produces n = 2^8 scrambled Sobol points in s=5 dimensions as an n x s matrix
The generating matrices are from
Dirk Nuyens' magic point shop
used with permission gratefully acknowledged.
Extra documentation is here.
In published uses, please cite
Kuo and Nuyens (2016)
as the source of the generating matrices,
Joe and Kuo (2008)
as the source of the underlying direction numbers
and Sobol' (1967)
for the underlying construction.
The randomization is from Owen (1995).
Also included is the randomization from Matousek (1998).
That algorithm requires less space but it is widely implemented elsewhere.
Computer memory is more abundant now than in the 1990s so saving
space is less critical. This code actually re-reads the generating
matrices from disk each time a net is constructed. There are faster
ways to generate them but this code is fast enough for research use.
Caveat: the Matousek scrambling code only uses that randomization for the first m bits when there are 2**m points to generate. It pastes on a uniform random tail for subsequent bits. It also generates an error for 2 points (i.e., m=1). For that one can take the first 2 points from m=2.