NAG FL Interface
g05sgf (dist_​expmix)

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1 Purpose

g05sgf generates a vector of pseudorandom numbers from an exponential mix distribution composed of m exponential distributions each having a mean ai and weight wi.

2 Specification

Fortran Interface
Subroutine g05sgf ( n, nmix, a, wgt, state, x, ifail)
Integer, Intent (In) :: n, nmix
Integer, Intent (Inout) :: state(*), ifail
Real (Kind=nag_wp), Intent (In) :: a(nmix), wgt(nmix)
Real (Kind=nag_wp), Intent (Out) :: x(n)
C Header Interface
#include <nag.h>
void  g05sgf_ (const Integer *n, const Integer *nmix, const double a[], const double wgt[], Integer state[], double x[], Integer *ifail)
The routine may be called by the names g05sgf or nagf_rand_dist_expmix.

3 Description

The distribution has PDF (probability density function)
f(x) = i=1m 1ai wi e-x/ai if ​x0, f(x) = 0 otherwise,  
where i=1mwi=1 and ai>0, wi0.
g05sgf returns the values xi by selecting, with probability wj, random variates from an exponential distribution with parameter aj.
One of the initialization routines g05kff (for a repeatable sequence if computed sequentially) or g05kgf (for a non-repeatable sequence) must be called prior to the first call to g05sgf.

4 References

Kendall M G and Stuart A (1969) The Advanced Theory of Statistics (Volume 1) (3rd Edition) Griffin
Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley

5 Arguments

1: n Integer Input
On entry: n, the number of pseudorandom numbers to be generated.
Constraint: n0.
2: nmix Integer Input
On entry: m, the number of exponential distributions in the mix.
Constraint: nmix1.
3: a(nmix) Real (Kind=nag_wp) array Input
On entry: the m parameters ai for the m exponential distributions in the mix.
Constraint: a(i)>0.0, for i=1,2,,nmix.
4: wgt(nmix) Real (Kind=nag_wp) array Input
On entry: the m weights wi for the m exponential distributions in the mix.
  • i=1mwgt(i)=1.0;
  • wgt(i)0.0, for i=1,2,,m.
5: state(*) Integer array Communication Array
Note: the actual argument supplied must be the array state supplied to the initialization routines g05kff or g05kgf.
On entry: contains information on the selected base generator and its current state.
On exit: contains updated information on the state of the generator.
6: x(n) Real (Kind=nag_wp) array Output
On exit: the n pseudorandom numbers from the specified exponential mix distribution.
7: ifail Integer Input/Output
On entry: ifail must be set to 0, -1 or 1 to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of 0 causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of -1 means that an error message is printed while a value of 1 means that it is not.
If halting is not appropriate, the value -1 or 1 is recommended. If message printing is undesirable, then the value 1 is recommended. Otherwise, the value 0 is recommended. When the value -1 or 1 is used it is essential to test the value of ifail on exit.
On exit: ifail=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry ifail=0 or -1, explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
On entry, n=value.
Constraint: n0.
On entry, nmix=value.
Constraint: nmix1.
On entry, a(value)=value.
Constraint: a(i)>0.0.
On entry, sum of wgt=value.
Constraint: sum of wgt=1.0.
On entry, wgt(value)=value.
Constraint: wgt(i)0.0.
On entry, state vector has been corrupted or not initialized.
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

Not applicable.

8 Parallelism and Performance

g05sgf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments


10 Example

This example prints the first five pseudorandom numbers from an exponential mix distribution comprising three exponential distributions with parameters a1=1.0, a2=5.0 and a3=2.0, and with respective weights 0.5, 0.3 and 0.2. The numbers are generated by a single call to g05sgf, after initialization by g05kff.

10.1 Program Text

Program Text (g05sgfe.f90)

10.2 Program Data

Program Data (g05sgfe.d)

10.3 Program Results

Program Results (g05sgfe.r)