nag_rand_quasi_init_scrambled (g05yn) selects a quasi-random number generator through the input value of genid, a method of scrambling through the input value of stype and initializes the iref communication array for use in the functions nag_rand_quasi_normal (g05yj), nag_rand_quasi_lognormal (g05yk) or nag_rand_quasi_uniform (g05ym).

Scrambled quasi-random sequences are an extension of standard quasi-random sequences that attempt to eliminate the bias inherent in a quasi-random sequence whilst retaining the low-discrepancy properties. The use of a scrambled sequence allows error estimation of Monte–Carlo results by performing a number of iterates and computing the variance of the results.

This implementation of scrambled quasi-random sequences is based on TOMS Algorithm 823 and details can be found in the accompanying paper, Hong and Hickernell (2003). Three methods of scrambling are supplied; the first a restricted form of Owen's scrambling (Owen (1995)), the second based on the method of Faure and Tezuka (2000) and the last method combines the first two.

Scrambled versions of the Niederreiter sequence and two sets of Sobol sequences are provided. The first Sobol sequence is obtained using

genid = 1

. The first 10000 direction numbers for this sequence are based on the work of Joe and Kuo (2008). For dimensions greater than 10000 the direction numbers are randomly generated using the pseudorandom generator specified in state (see Jäckel (2002) for details). The second Sobol sequence is obtained using

genid = 2

and referred to in the documentation as ‘Sobol (A659)’. The first 1111 direction numbers for this sequence are based on Algorithm 659 of Bratley and Fox (1988) with the extension proposed by Joe and Kuo (2003). For dimensions greater than 1111 the direction numbers are once again randomly generated. The Niederreiter sequence is obtained by setting

genid = 3

References

Bratley P and Fox B L (1988) Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software 14(1) 88–100

Faure H and Tezuka S (2000) Another random scrambling of digital (t,s)-sequences Monte Carlo and Quasi-Monte Carlo Methods Springer-Verlag, Berlin, Germany (eds K T Fang, F J Hickernell and H Niederreiter)

Hong H S and Hickernell F J (2003) Algorithm 823: implementing scrambled digital sequences ACM Trans. Math. Software 29:2 95–109

Jäckel P (2002) Monte Carlo Methods in Finance Wiley Finance Series, John Wiley and Sons, England

Joe S and Kuo F Y (2003) Remark on Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software (TOMS) 29 49–57

Joe S and Kuo F Y (2008) Constructing Sobol sequences with better two-dimensional projections SIAM J. Sci. Comput. 30 2635–2654

Niederreiter H (1988) Low-discrepancy and low dispersion sequences Journal of Number Theory 30 51–70

Owen A B (1995) Randomly permuted (t,m,s)-nets and (t,s)-sequences Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Lecture Notes in Statistics 106 Springer-Verlag, New York, NY 299–317 (eds H Niederreiter and P J-S Shiue)

Parameters

Compulsory Input Parameters

1: $genid$ – int64int32nag_int scalar

Must identify the quasi-random generator to use.

$genid = 1$: Sobol generator.
$genid = 2$: Sobol (A659) generator.
$genid = 3$: Niederreiter generator.

Constraint:

genid = 1

2

3

2: $stype$ – int64int32nag_int scalar

Must identify the scrambling method to use.

$stype = 0$: No scrambling. This is equivalent to calling nag_rand_quasi_init (g05yl).
$stype = 1$: Owen like scrambling.
$stype = 2$: Faure–Tezuka scrambling.
$stype = 3$: Owen and Faure–Tezuka scrambling.

Constraint:

stype = 0

1

2

3

3: $idim$ – int64int32nag_int scalar

The number of dimensions required.

Constraints:

if $genid = 1$ , $1 \leq idim \leq 50000$ ;
if $genid = 2$ , $1 \leq idim \leq 50000$ ;
if $genid = 3$ , $1 \leq idim \leq 318$ .

4: $iskip$ – int64int32nag_int scalar

The number of terms of the sequence to skip on initialization for the Sobol and Niederreiter generators.

Constraint:

0 \leq iskip \leq 2^{30}

5: $nsdigi$ – int64int32nag_int scalar

Controls the number of digits (bits) to scramble when

genid = 1

2

, otherwise nsdigi is ignored. If

nsdigi < 1

nsdigi > 30

then all the digits are scrambled.

6: $state (:)$ – int64int32nag_int array

Note: the actual argument supplied must be the array state supplied to the initialization routines nag_rand_init_repeat (g05kf) or nag_rand_init_nonrepeat (g05kg).

Contains information on the selected base generator and its current state.

Optional Input Parameters

None.

Output Parameters

1: $iref (liref)$ – int64int32nag_int array: $liref = 32 \times idim + 7$ .
Contains initialization information for use by the generator functions nag_rand_quasi_normal (g05yj), nag_rand_quasi_lognormal (g05yk) and nag_rand_quasi_uniform (g05ym). iref must not be altered in any way between initialization and calls of the generator functions.
2: $state (:)$ – int64int32nag_int array: Contains updated information on the state of the generator.
3: $ifail$ – int64int32nag_int scalar: $ifail = 0$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

Errors or warnings detected by the function:

$ifail = 1$: Constraint: $1 \leq genid \leq_$ .

$ifail = 2$: Constraint: $0 \leq stype \leq 3$ .

$ifail = 3$: Constraint: $1 \leq idim \leq_$ .

$ifail = 5$: Constraint: $liref \geq 32 \times idim + 7$ .

$ifail = 6$: Constraint: $0 \leq iskip \leq 2^{30}$ .

$ifail = 8$: On entry, state vector has been corrupted or not initialized.

$ifail = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.

$ifail = - 999$: Dynamic memory allocation failed.

Accuracy

Not applicable.

Further Comments

The additional computational cost in using a scrambled quasi-random sequence over a non-scrambled one comes entirely during the initialization. Once nag_rand_quasi_init_scrambled (g05yn) has been called the computational cost of generating a scrambled sequence and a non-scrambled one is identical.

Example

This example calls nag_rand_init_repeat (g05kf), nag_rand_quasi_uniform (g05ym) and nag_rand_quasi_init_scrambled (g05yn) to estimate the value of the integral

\int_{0}^{1} \dots \int_{0}^{1} \prod_{i = 1}^{s} |4 x_{i} - 2| d x_{1}, d x_{2}, \dots, d x_{s} = 1,

where

s

, the number of dimensions, is set to

8

Open in the MATLAB editor: g05yn_example

function g05yn_example


fprintf('g05yn example results\n\n');

% Initialize the base generator to a repeatable sequence
seed  = [int64(1762543)];
genid = int64(1);
subid = int64(1);
[state, ifail] = g05kf( ...
                        genid, subid, seed);


% Initialize the quasi-random generator
stype = int64(1);
idim  = int64(8);
iskip = int64(1000);
nsdigi = int64(0);
[iref, state, ifail] = g05yn( ...
                              genid, stype, idim, iskip, nsdigi, state);

% Number of variates
n = int64(200);

% Generate quasi-random variates
[quas, iref, ifail] = g05ym( ...
                             n, iref);

% Evaluate the function, and sum
p(1:n) = prod(abs(4*quas(1:idim,:)-2));
fsum = sum(p);

% Convert sum to mean value
vsbl = fsum/double(n);
fprintf('Value of integral = %8.4f\n\n', vsbl);
fprintf('First 10 variates\n');
for i = 1:10
  fprintf(' %3d', i);
  fprintf(' %8.4f', quas(1:idim,i));
  fprintf('\n');
end

g05yn example results

Value of integral =   1.0169

First 10 variates
   1   0.8688   0.9719   0.5375   0.0876   0.4721   0.3800   0.2977   0.1010
   2   0.6287   0.3611   0.4963   0.8648   0.0753   0.0174   0.7011   0.2532
   3   0.1244   0.5349   0.8645   0.2621   0.7523   0.7212   0.0538   0.6231
   4   0.1353   0.4013   0.6656   0.4691   0.9096   0.9272   0.5481   0.4164
   5   0.6154   0.6962   0.0321   0.9000   0.2307   0.3186   0.1989   0.7102
   6   0.8870   0.0880   0.9947   0.1775   0.3148   0.2059   0.8033   0.9249
   7   0.3603   0.7579   0.3633   0.6995   0.5127   0.5328   0.4496   0.2013
   8   0.3304   0.1096   0.5034   0.3596   0.0137   0.3643   0.1719   0.8774
   9   0.9207   0.7834   0.1357   0.7596   0.8138   0.8825   0.5831   0.2493
  10   0.5828   0.4226   0.8287   0.0370   0.7336   0.5189   0.4143   0.4015

PDF version (NAG web site, 64-bit version, 64-bit version)

Chapter Contents

Chapter Introduction

NAG Toolbox