NAG Library Routine Document

G05KGF

1  Purpose

2  Specification

3  Description

4  References

5  Parameters

1:     $\mathrm{GENID}$ – INTEGERInput

On entry: must contain the type of base generator to use.

$\mathbf{GENID}=1$

NAG basic generator.

$\mathbf{GENID}=2$

Wichmann Hill I generator.

$\mathbf{GENID}=3$

Mersenne Twister.

$\mathbf{GENID}=4$

Wichmann Hill II generator.

$\mathbf{GENID}=5$

ACORN generator.

$\mathbf{GENID}=6$

L'Ecuyer MRG32k3a generator.

See the G05 Chapter Introduction for details of each of the base generators.

Constraint: $\mathbf{GENID}=1$, $2$, $3$, $4$, $5$ or $6$.

2:     $\mathrm{SUBID}$ – INTEGERInput

On entry: if $\mathbf{GENID}=2$, SUBID indicates which of the $273$ sub-generators to use. In this case, the $\left(\left(\left|\mathbf{SUBID}\right|+272\right) mod 273\right)+1$ sub-generator is used.

If $\mathbf{GENID}=5$, SUBID indicates the values of $k$ and $p$ to use, where $k$ is the order of the generator, and $p$ controls the size of the modulus, $M$, with $M=2^{\left(p\times 30\right)}$. If $\mathbf{SUBID}<1$, the default values of $k=10$ and $p=2$ are used, otherwise values for $k$ and $p$ are calculated from the formula, $\mathbf{SUBID}=k+1000\left(p-1\right)$.

If $\mathbf{GENID}=6$ and $\mathbf{SUBID}\mathrm{ mod }2=0$ the range of the generator is set to $\left(0,1\right]$, otherwise the range is set to $\left(0,1\right)$; in this case the sequence is identical to the implementation of MRG32k3a in TestU01 (see L'Ecuyer and Simard (2002)) for identical seeds.

For all other values of GENID, SUBID is not referenced.

3:     $\mathrm{STATE}\left(\mathbf{LSTATE}\right)$ – INTEGER arrayCommunication Array

On exit: contains information on the selected base generator and its current state.

4:     $\mathrm{LSTATE}$ – INTEGERInput/Output

On entry: the dimension of the STATE array, or a value $<1$. If the Mersenne Twister ($\mathbf{GENID}=3$) is being used and the skip ahead routine G05KJF or G05KKF will be called subsequently, then you must ensure that $\mathbf{LSTATE}\ge 1260$.

On exit: if $\mathbf{LSTATE}<1$ on entry, then the required length of the STATE array for the chosen base generator, otherwise LSTATE is unchanged. When $\mathbf{GENID}=3$ (Mersenne Twister) a value of $1260$ is returned, allowing for the skip ahead routine to be subsequently called. In all other cases the minimum length, as documented in the constraints below, is returned.

Constraints:

• if $\mathbf{GENID}=1$, $\mathbf{LSTATE}\ge 17$;
• if $\mathbf{GENID}=2$, $\mathbf{LSTATE}\ge 21$;
• if $\mathbf{GENID}=3$, $\mathbf{LSTATE}\ge 633$;
• if $\mathbf{GENID}=4$, $\mathbf{LSTATE}\ge 29$;
• if $\mathbf{GENID}=5$, $\mathbf{LSTATE}\ge \max \left(\left(k+1\right)\times p+9,14\right)+3$, where $k$ and $p$ are defined by SUBID;
• if $\mathbf{GENID}=6$, $\mathbf{LSTATE}\ge 61$;
• otherwise $\mathbf{LSTATE}<1$.

5:     $\mathrm{IFAIL}$ – INTEGERInput/Output

On entry: IFAIL must be set to $0$, $-1\text{ or }1$. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

On exit: $\mathbf{IFAIL}=\mathbf{0}$ or $-1$ unless the routine detects an error or a warning has been flagged (see Section 6).

For environments where it might be inappropriate to halt program execution when an error is detected, the value $-1\text{ or }1$ is recommended. If the output of error messages is undesirable, then the value $1$ is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is $0$. When the value $-\mathbf{1}\text{ or }\mathbf{1}$ is used it is essential to test the value of IFAIL on exit.

6  Error Indicators and Warnings

$\mathbf{IFAIL}=1$

On entry, $\mathbf{GENID}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{GENID}=1$, $2$, $3$, $4$, $5$ or $6$.

$\mathbf{IFAIL}=4$

On entry, $\mathbf{LSTATE}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{LSTATE}\le 0$ or $\mathbf{LSTATE}\ge 〈\mathit{\text{value}}〉$.

$\mathbf{IFAIL}=-1$

Required length of STATE array returned in LSTATE but STATE array not initialized.

$\mathbf{IFAIL}=-99$

An unexpected error has been triggered by this routine. Please contact NAG.

See Section 3.8 in the Essential Introduction for further information.

$\mathbf{IFAIL}=-399$

Your licence key may have expired or may not have been installed correctly.

See Section 3.7 in the Essential Introduction for further information.

$\mathbf{IFAIL}=-999$

Dynamic memory allocation failed.

See Section 3.6 in the Essential Introduction for further information.

7  Accuracy

8  Parallelism and Performance

9  Further Comments

10  Example

10.1  Program Text

Program Text (g05kgfe.f90)

10.2  Program Data

Program Data (g05kgfe.d)

10.3  Program Results

Program Results (g05kgfe.r)