NAG CL Interface
g05zmc (field_​1d_​user_​setup)

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1 Purpose

g05zmc performs the setup required in order to simulate stationary Gaussian random fields in one dimension, for a user-defined variogram, using the circulant embedding method. Specifically, the eigenvalues of the extended covariance matrix (or embedding matrix) are calculated, and their square roots output, for use by g05zpc, which simulates the random field.

2 Specification

#include <nag.h>
void  g05zmc (Integer ns, double xmin, double xmax, Integer maxm, double var,
void (*cov1)(double x, double *gamma, Nag_Comm *comm),
Nag_EmbedPad pad, Nag_EmbedScale corr, double lam[], double xx[], Integer *m, Integer *approx, double *rho, Integer *icount, double eig[], Nag_Comm *comm, NagError *fail)
The function may be called by the names: g05zmc or nag_rand_field_1d_user_setup.

3 Description

A one-dimensional random field Z(x) in is a function which is random at every point x, so Z(x) is a random variable for each x. The random field has a mean function μ(x)=𝔼[Z(x)] and a symmetric positive semidefinite covariance function C(x,y)=𝔼[(Z(x)-μ(x))(Z(y)-μ(y))]. Z(x) is a Gaussian random field if for any choice of n and x1,,xn, the random vector [Z(x1),,Z(xn)]T follows a multivariate Normal distribution, which would have a mean vector μ~ with entries μ~i=μ(xi) and a covariance matrix C~ with entries C~ij=C(xi,xj). A Gaussian random field Z(x) is stationary if μ(x) is constant for all x and C(x,y)=C(x+a,y+a) for all x,y,a and hence we can express the covariance function C(x,y) as a function γ of one variable: C(x,y)=γ(x-y). γ is known as a variogram (or more correctly, a semivariogram) and includes the multiplicative factor σ2 representing the variance such that γ(0)=σ2.
The functions g05zmc and g05zpc are used to simulate a one-dimensional stationary Gaussian random field, with mean function zero and variogram γ(x), over an interval [xmin,xmax], using an equally spaced set of N points on the interval. The problem reduces to sampling a Normal random vector X of size N, with mean vector zero and a symmetric Toeplitz covariance matrix A. Since A is in general expensive to factorize, a technique known as the circulant embedding method is used. A is embedded into a larger, symmetric circulant matrix B of size M2(N-1), which can now be factorized as B=WΛW*=R*R, where W is the Fourier matrix (W* is the complex conjugate of W), Λ is the diagonal matrix containing the eigenvalues of B and R=Λ12W*. B is known as the embedding matrix. The eigenvalues can be calculated by performing a discrete Fourier transform of the first row (or column) of B and multiplying by M, and so only the first row (or column) of B is needed – the whole matrix does not need to be formed.
As long as all of the values of Λ are non-negative (i.e., B is positive semidefinite), B is a covariance matrix for a random vector Y, two samples of which can now be simulated from the real and imaginary parts of R*(U+iV), where U and V have elements from the standard Normal distribution. Since R*(U+iV)=WΛ12(U+iV), this calculation can be done using a discrete Fourier transform of the vector Λ12(U+iV). Two samples of the random vector X can now be recovered by taking the first N elements of each sample of Y – because the original covariance matrix A is embedded in B, X will have the correct distribution.
If B is not positive semidefinite, larger embedding matrices B can be tried; however if the size of the matrix would have to be larger than maxm, an approximation procedure is used. We write Λ=Λ++Λ-, where Λ+ and Λ- contain the non-negative and negative eigenvalues of B respectively. Then B is replaced by ρB+ where B+=WΛ+W* and ρ(0,1] is a scaling factor. The error ε in approximating the distribution of the random field is given by
ε= (1-ρ) 2 traceΛ + ρ2 traceΛ- M .  
Three choices for ρ are available, and are determined by the input argument corr:
g05zmc finds a suitable positive semidefinite embedding matrix B and outputs its size, m, and the square roots of its eigenvalues in lam. If approximation is used, information regarding the accuracy of the approximation is output. Note that only the first row (or column) of B is actually formed and stored.

4 References

Dietrich C R and Newsam G N (1997) Fast and exact simulation of stationary Gaussian processes through circulant embedding of the covariance matrix SIAM J. Sci. Comput. 18 1088–1107
Schlather M (1999) Introduction to positive definite functions and to unconditional simulation of random fields Technical Report ST 99–10 Lancaster University
Wood A T A and Chan G (1994) Simulation of stationary Gaussian processes in [0,1]d Journal of Computational and Graphical Statistics 3(4) 409–432

5 Arguments

1: ns Integer Input
On entry: the number of sample points to be generated in realizations of the random field.
Constraint: ns1.
2: xmin double Input
On entry: the lower bound for the interval over which the random field is to be simulated.
Constraint: xmin<xmax.
3: xmax double Input
On entry: the upper bound for the interval over which the random field is to be simulated.
Constraint: xmin<xmax.
4: maxm Integer Input
On entry: the maximum size of the circulant matrix to use. For example, if the embedding matrix is to be allowed to double in size three times before the approximation procedure is used, then choose maxm = 2k+2 where k = 1+ log2(ns-1) .
Suggested value: 2k+2​ where ​ k = 1+ log2(ns-1) .
Constraint: maxm 2 k , where k is the smallest integer satisfying 2 k 2 (ns-1) .
5: var double Input
On entry: the multiplicative factor σ2 of the variogram γ(x).
Constraint: var0.0.
6: cov1 function, supplied by the user External Function
cov1 must evaluate the variogram γ(x), without the multiplicative factor σ2, for all x0. The value returned in gamma is multiplied internally by var.
The specification of cov1 is:
void  cov1 (double x, double *gamma, Nag_Comm *comm)
1: x double Input
On entry: the value x at which the variogram γ(x) is to be evaluated.
2: gamma double * Output
On exit: the value of the variogram γ(x) σ2 .
3: comm Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to cov1.
userdouble *
iuserInteger *
The type Pointer will be void *. Before calling g05zmc you may allocate memory and initialize these pointers with various quantities for use by cov1 when called from g05zmc (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
Note: cov1 should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by g05zmc. If your code inadvertently does return any NaNs or infinities, g05zmc is likely to produce unexpected results.
7: pad Nag_EmbedPad Input
On entry: determines whether the embedding matrix is padded with zeros, or padded with values of the variogram. The choice of padding may affect how big the embedding matrix must be in order to be positive semidefinite.
The embedding matrix is padded with zeros.
The embedding matrix is padded with values of the variogram.
Suggested value: pad=Nag_EmbedPadValues.
Constraint: pad=Nag_EmbedPadZeros or Nag_EmbedPadValues.
8: corr Nag_EmbedScale Input
On entry: determines which approximation to implement if required, as described in Section 3.
Suggested value: corr=Nag_EmbedScaleTraces.
Constraint: corr=Nag_EmbedScaleTraces, Nag_EmbedScaleSqrtTraces or Nag_EmbedScaleOne.
9: lam[maxm] double Output
On exit: contains the square roots of the eigenvalues of the embedding matrix.
10: xx[ns] double Output
On exit: the points at which values of the random field will be output.
11: m Integer * Output
On exit: the size of the embedding matrix.
12: approx Integer * Output
On exit: indicates whether approximation was used.
No approximation was used.
Approximation was used.
13: rho double * Output
On exit: indicates the scaling of the covariance matrix. rho=1.0 unless approximation was used with corr=Nag_EmbedScaleTraces or Nag_EmbedScaleSqrtTraces.
14: icount Integer * Output
On exit: indicates the number of negative eigenvalues in the embedding matrix which have had to be set to zero.
15: eig[3] double Output
On exit: indicates information about the negative eigenvalues in the embedding matrix which have had to be set to zero. eig[0] contains the smallest eigenvalue, eig[1] contains the sum of the squares of the negative eigenvalues, and eig[2] contains the sum of the absolute values of the negative eigenvalues.
16: comm Nag_Comm *
The NAG communication argument (see Section 3.1.1 in the Introduction to the NAG Library CL Interface).
17: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
On entry, argument value had an illegal value.
On entry, maxm=value.
Constraint: the minimum calculated value for maxm is value.
Where the minimum calculated value is given by 2 k , where k is the smallest integer satisfying 2 k 2 (ns-1) .
On entry, ns=value.
Constraint: ns1.
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.
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.
On entry, var=value.
Constraint: var0.0.
On entry, xmin=value and xmax=value.
Constraint: xmin<xmax.

7 Accuracy

If on exit approx=1, see the comments in Section 3 regarding the quality of approximation; increase the value of maxm to attempt to avoid approximation.

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.
g05zmc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g05zmc 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.

9 Further Comments


10 Example

This example calls g05zmc to calculate the eigenvalues of the embedding matrix for 8 sample points of a random field characterized by the symmetric stable variogram:
γ(x) = σ2 exp(- (x) ν ) ,  
where x=x, and and ν are parameters.
It should be noted that the symmetric stable variogram is one of the pre-defined variograms available in g05znc. It is used here purely for illustrative purposes.

10.1 Program Text

Program Text (g05zmce.c)

10.2 Program Data

Program Data (g05zmce.d)

10.3 Program Results

Program Results (g05zmce.r)