NAG Library Routine Document

g05ykf  (quasi_lognormal)

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

1:     $\mathbf{xmean}\left(\mathit{idim}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: specifies, for each dimension, the mean of the underlying Normal distribution.

Constraint: $\left|\mathbf{xmean}\left(\mathit{i}\right)\right|\le \left|-\log \left(\mathbf{x02amf}\right)-10.0\times \mathbf{std}\left(\mathit{i}\right)\right|$, for $\mathit{i}=1,2,\dots ,\mathit{idim}$.

2:     $\mathbf{std}\left(\mathit{idim}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: specifies, for each dimension, the standard deviation of the underlying Normal distribution.

Constraint: $\mathbf{std}\left(\mathit{i}\right)\ge 0.0$, for $\mathit{i}=1,2,\dots ,\mathit{idim}$.

3:     $\mathbf{n}$ – IntegerInput

On entry: the number of quasi-random numbers required.

Constraint: $\mathbf{n}\ge 0$ and $\mathbf{n}+\text{previous number of generated values}\le 2^{31}-1$.

4:     $\mathbf{quas}\left(\mathbf{n},\mathit{idim}\right)$ – Real (Kind=nag_wp) arrayOutput

On exit: contains the n quasi-random numbers of dimension idim.

5:     $\mathbf{iref}\left(\mathit{liref}\right)$ – Integer arrayCommunication Array

On entry: contains information on the current state of the sequence.

On exit: contains updated information on the state of the sequence.

6:     $\mathbf{ifail}$ – IntegerInput/Output

On entry: ifail must be set to $0$, $-1\text{ or }1$. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.

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 argument, 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.

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

6

Error Indicators and Warnings

$\mathbf{ifail}=1$

On entry, incorrect initialization has been detected.

$\mathbf{ifail}=2$

On entry,

$\mathbf{n}<1$.

$\mathbf{ifail}=3$

On entry,at least one element of xmean is too large.

$\mathbf{ifail}=4$

There have been too many calls to the generator.

$\mathbf{ifail}=-99$

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

See Section 3.9 in How to Use the NAG Library and its Documentation for further information.

$\mathbf{ifail}=-399$

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

See Section 3.8 in How to Use the NAG Library and its Documentation for further information.

$\mathbf{ifail}=-999$

Dynamic memory allocation failed.

See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

Program Text (g05ykfe.f90)

10.2

Program Data

Program Data (g05ykfe.d)

10.3

Program Results

Program Results (g05ykfe.r)