NAG CL Interfaceg05ykc (quasi_​lognormal)

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1Purpose

g05ykc generates a quasi-random sequence from a log-normal distribution. It must be preceded by a call to one of the initialization functions g05ylc or g05ync.

2Specification

 #include
 void g05ykc (Nag_OrderType order, const double xmean[], const double std[], Integer n, double quas[], Integer pdquas, Integer iref[], NagError *fail)
The function may be called by the names: g05ykc, nag_rand_quasi_lognormal or nag_quasi_rand_lognormal.

3Description

g05ykc generates a quasi-random sequence from a log-normal distribution by first generating a uniform quasi-random sequence which is then transformed into a log-normal sequence using the exponential of the inverse of the Normal CDF. The type of uniform sequence used depends on the initialization function called and can include the low-discrepancy sequences proposed by Sobol, Faure or Niederreiter. If the initialization function g05ync was used then the underlying uniform sequence is first scrambled prior to being transformed (see Section 3 in g05ync for details).

4References

Bratley P and Fox B L (1988) Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software 14(1) 88–100
Fox B L (1986) Algorithm 647: implementation and relative efficiency of quasirandom sequence generators ACM Trans. Math. Software 12(4) 362–376
Wichura (1988) Algorithm AS 241: the percentage points of the Normal distribution Appl. Statist. 37 477–484

5Arguments

Note: the following variables are used in the parameter descriptions:
• $\mathit{idim}={\mathbf{idim}}$, the number of dimensions required, see g05ylc or g05ync;
• $\mathit{liref}={\mathbf{liref}}$, the length of iref as supplied to the initialization functions g05ylc or g05ync.
1: $\mathbf{order}$Nag_OrderType Input
On entry: the order argument specifies the two-dimensional storage scheme being used, i.e., row-major ordering or column-major ordering. C language defined storage is specified by ${\mathbf{order}}=\mathrm{Nag_RowMajor}$. See Section 3.1.3 in the Introduction to the NAG Library CL Interface for a more detailed explanation of the use of this argument.
Constraint: ${\mathbf{order}}=\mathrm{Nag_RowMajor}$ or $\mathrm{Nag_ColMajor}$.
2: $\mathbf{xmean}\left[\mathit{dim}\right]$const double Input
On entry: specifies, for each dimension, the mean of the underlying Normal distribution.
Constraint: $|{\mathbf{xmean}}\left[\mathit{i}-1\right]|\le |-\mathrm{log}\left({\mathbf{nag_real_safe_small_number}}\right)-10.0×{\mathbf{std}}\left[\mathit{i}-1\right]|$, for $\mathit{i}=1,2,\dots ,\mathit{idim}$.
3: $\mathbf{std}\left[\mathit{dim}\right]$const double Input
On entry: specifies, for each dimension, the standard deviation of the underlying Normal distribution.
Constraint: ${\mathbf{std}}\left[\mathit{i}-1\right]\ge 0.0$, for $\mathit{i}=1,2,\dots ,\mathit{idim}$.
4: $\mathbf{n}$Integer Input
On entry: the number of quasi-random numbers required.
Constraint: ${\mathbf{n}}\ge 0$ and ${\mathbf{n}}+\text{previous number of generated values}\le {2}^{31}-1$.
5: $\mathbf{quas}\left[\mathit{dim}\right]$double Output
Note: the dimension, dim, of the array quas must be at least
• $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{pdquas}}×\mathit{idim}\right)$ when ${\mathbf{order}}=\mathrm{Nag_ColMajor}$;
• $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{n}}×{\mathbf{pdquas}}\right)$ when ${\mathbf{order}}=\mathrm{Nag_RowMajor}$.
where ${\mathbf{QUAS}}\left(i,j\right)$ appears in this document, it refers to the array element
• ${\mathbf{quas}}\left[\left(j-1\right)×{\mathbf{pdquas}}+i-1\right]$ when ${\mathbf{order}}=\mathrm{Nag_ColMajor}$;
• ${\mathbf{quas}}\left[\left(i-1\right)×{\mathbf{pdquas}}+j-1\right]$ when ${\mathbf{order}}=\mathrm{Nag_RowMajor}$.
On exit: ${\mathbf{QUAS}}\left(i,j\right)$ holds the $i$th value for the $j$th dimension.
6: $\mathbf{pdquas}$Integer Input
On entry: the stride separating row or column elements (depending on the value of order) in the array quas.
Constraints:
• if ${\mathbf{order}}=\mathrm{Nag_ColMajor}$, ${\mathbf{pdquas}}\ge {\mathbf{n}}$;
• if ${\mathbf{order}}=\mathrm{Nag_RowMajor}$, ${\mathbf{pdquas}}\ge \mathit{idim}$.
7: $\mathbf{iref}\left[\mathit{dim}\right]$Integer Communication Array
Note: the dimension, dim, of the array iref must be at least $\mathit{liref}$.
On entry: contains information on the current state of the sequence.
On exit: contains updated information on the state of the sequence.
8: $\mathbf{fail}$NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument $⟨\mathit{\text{value}}⟩$ had an illegal value.
NE_INITIALIZATION
On entry, iref has either not been initialized or has been corrupted.
NE_INT
On entry, ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{n}}\ge 0$.
NE_INT_2
On entry, ${\mathbf{pdquas}}=⟨\mathit{\text{value}}⟩$ and $\mathit{idim}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{pdquas}}\ge \mathit{idim}$.
On entry, ${\mathbf{pdquas}}=⟨\mathit{\text{value}}⟩$ and ${\mathbf{n}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{pdquas}}\ge {\mathbf{n}}$.
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.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
NE_REAL_ARRAY
On entry, $i=⟨\mathit{\text{value}}⟩$ and ${\mathbf{std}}\left[i-1\right]=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{std}}\left[i-1\right]\ge 0$.
On entry, $i=⟨\mathit{\text{value}}⟩$ and ${\mathbf{xmean}}\left[i-1\right]=⟨\mathit{\text{value}}⟩$.
Constraint: $|{\mathbf{xmean}}\left[i-1\right]|\le ⟨\mathit{\text{value}}⟩$.
NE_TOO_MANY_CALLS
There have been too many calls to the generator.

Not applicable.

8Parallelism and Performance

g05ykc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g05ykc makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
The Sobol, Sobol (A659) and Niederreiter quasi-random number generators in g05ykc have been parallelized, but require quite large problem sizes to see any significant performance gain. Parallelism is only enabled when ${\mathbf{order}}=\mathrm{Nag_ColMajor}$. The Faure generator is serial.

None.

10Example

This example calls g05ylc to initialize the generator and then g05ykc to produce a sequence of five four-dimensional quasi-random numbers variates.

10.1Program Text

Program Text (g05ykce.c)

None.

10.3Program Results

Program Results (g05ykce.r)