NAG CL Interface
g05sbc (dist_beta)
1
Purpose
g05sbc generates a vector of pseudorandom numbers taken from a beta distribution with parameters and .
2
Specification
void |
g05sbc (Integer n,
double a,
double b,
Integer state[],
double x[],
NagError *fail) |
|
The function may be called by the names: g05sbc, nag_rand_dist_beta or nag_rand_beta.
3
Description
The beta distribution has PDF (probability density function)
One of four algorithms is used to generate the variates depending on the values of
and
. Let
be the maximum and
be the minimum of
and
. Then the algorithms are as follows:
-
(i)if , Johnk's algorithm is used, see for example Dagpunar (1988). This generates the beta variate as , where and are uniformly distributed random variates;
-
(ii)if , the algorithm BB given by Cheng (1978) is used. This involves the generation of an observation from a beta distribution of the second kind by the envelope rejection method using a log-logistic target distribution and then transforming it to a beta variate;
-
(iii)if and , the switching algorithm given by Atkinson (1979) is used. The two target distributions used are and , along with the approximation to the switching parameter of ;
-
(iv)in all other cases, Cheng's BC algorithm (see Cheng (1978)) is used with modifications suggested by Dagpunar (1988). This algorithm is similar to BB, used when , but is tuned for small values of and .
One of the initialization functions
g05kfc (for a repeatable sequence if computed sequentially) or
g05kgc (for a non-repeatable sequence) must be called prior to the first call to
g05sbc.
4
References
Atkinson A C (1979) A family of switching algorithms for the computer generation of beta random variates Biometrika 66 141–5
Cheng R C H (1978) Generating beta variates with nonintegral shape parameters Comm. ACM 21 317–322
Dagpunar J (1988) Principles of Random Variate Generation Oxford University Press
Hastings N A J and Peacock J B (1975) Statistical Distributions Butterworth
5
Arguments
-
1:
– Integer
Input
-
On entry: , the number of pseudorandom numbers to be generated.
Constraint:
.
-
2:
– double
Input
-
On entry: , the parameter of the beta distribution.
Constraint:
.
-
3:
– double
Input
-
On entry: , the parameter of the beta distribution.
Constraint:
.
-
4:
– Integer
Communication Array
Note: the dimension,
, of this array is dictated by the requirements of associated functions that must have been previously called. This array MUST be the same array passed as argument
state in the previous call to
nag_rand_init_repeatable (g05kfc) or
nag_rand_init_nonrepeatable (g05kgc).
On entry: contains information on the selected base generator and its current state.
On exit: contains updated information on the state of the generator.
-
5:
– double
Output
-
On exit: the pseudorandom numbers from the specified beta distribution.
-
6:
– NagError *
Input/Output
-
The NAG error argument (see
Section 7 in the Introduction to the NAG Library CL Interface).
6
Error 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.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
- 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_INVALID_STATE
-
On entry,
state vector has been corrupted or not initialized.
- 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
-
On entry, .
Constraint: .
On entry, .
Constraint: .
7
Accuracy
Not applicable.
8
Parallelism and Performance
g05sbc 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 function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
To generate an observation, , from the beta distribution of the second kind from an observation, , generated by g05sbc the transformation, , may be used.
10
Example
This example prints a set of five pseudorandom numbers from a beta distribution with parameters
and
, generated by a single call to
g05sbc, after initialization by
g05kfc.
10.1
Program Text
10.2
Program Data
None.
10.3
Program Results