NAG Library Function Document

nag_quasi_init (g05ylc)

1  Purpose

2  Specification

3  Description

4  References

5  Arguments

1:     genid – Nag_QuasiRandom_SequenceInput

On entry: must identify the quasi-random generator to use.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$

Sobol generator.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_SobolA659}$

Sobol (A659) generator.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Nied}$

Niederreiter generator.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$

Faure generator.

Constraint: $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $\mathrm{Nag\_QuasiRandom\_SobolA659}$, $\mathrm{Nag\_QuasiRandom\_Nied}$ or $\mathrm{Nag\_QuasiRandom\_Faure}$.

2:     idim – IntegerInput

On entry: the number of dimensions required.

Constraints:

• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $1\le \mathbf{idim}\le 10000$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_SobolA659}$, $1\le \mathbf{idim}\le 1111$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Nied}$, $1\le \mathbf{idim}\le 318$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$, $1\le \mathbf{idim}\le 40$.

3:     iref[liref] – IntegerCommunication Array

On exit: contains initialization information for use by the generator functions nag_quasi_rand_normal (g05yjc), nag_quasi_rand_lognormal (g05ykc) and nag_quasi_rand_uniform (g05ymc). iref must not be altered in any way between initialization and calls of the generator functions.

4:     liref – IntegerInput

On entry: the dimension of the array iref.

Constraints:

• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $\mathrm{Nag\_QuasiRandom\_SobolA659}$ or $\mathrm{Nag\_QuasiRandom\_Nied}$, $\mathbf{liref}\ge 32\times \mathbf{idim}+7$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$, $\mathbf{liref}\ge 407$.

5:     iskip – IntegerInput

On entry: the number of terms of the sequence to skip on initialization for the Sobol and Niederreiter generators. If $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$, iskip is ignored.

Constraint: if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $\mathrm{Nag\_QuasiRandom\_SobolA659}$ or $\mathrm{Nag\_QuasiRandom\_Nied}$, $0\le \mathbf{iskip}\le 2^{30}$.

6:     fail – NagError *Input/Output

The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL

Dynamic memory allocation failed.

NE_BAD_PARAM

On entry, argument $⟨\mathit{\text{value}}⟩$ had an illegal value.

NE_INT

On entry, $\mathbf{idim}=⟨\mathit{\text{value}}⟩$.
Constraint: $1\le \mathbf{idim}\le ⟨\mathit{\text{value}}⟩$.

On entry, $\mathbf{iskip}<0$ or iskip is too large: $\mathbf{iskip}=⟨\mathit{\text{value}}⟩$, maximum value is $⟨\mathit{\text{value}}⟩$.

On entry, liref is too small: $\mathbf{liref}=⟨\mathit{\text{value}}⟩$, minimum length is $⟨\mathit{\text{value}}⟩$.

NE_INTERNAL_ERROR

An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.

7  Accuracy

8  Parallelism and Performance

9  Further Comments

10  Example