NAG FL Interface
g05znf (field_​1d_​predef_​setup)

Settings help

FL Name Style:

FL Specification Language:

1 Purpose

g05znf performs the setup required in order to simulate stationary Gaussian random fields in one dimension, for a preset 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 g05zpf, which simulates the random field.

2 Specification

Fortran Interface
Subroutine g05znf ( ns, xmin, xmax, maxm, var, icov1, np, params, pad, icorr, lam, xx, m, approx, rho, icount, eig, ifail)
Integer, Intent (In) :: ns, maxm, icov1, np, pad, icorr
Integer, Intent (Inout) :: ifail
Integer, Intent (Out) :: m, approx, icount
Real (Kind=nag_wp), Intent (In) :: xmin, xmax, var, params(np)
Real (Kind=nag_wp), Intent (Out) :: lam(maxm), xx(ns), rho, eig(3)
C Header Interface
#include <nag.h>
void  g05znf_ (const Integer *ns, const double *xmin, const double *xmax, const Integer *maxm, const double *var, const Integer *icov1, const Integer *np, const double params[], const Integer *pad, const Integer *icorr, double lam[], double xx[], Integer *m, Integer *approx, double *rho, Integer *icount, double eig[], Integer *ifail)
The routine may be called by the names g05znf or nagf_rand_field_1d_predef_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 routines g05znf and g05zpf 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. 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 icorr:
g05znf 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 (1997) Algorithm AS 312: An Algorithm for Simulating Stationary Gaussian Random Fields Journal of the Royal Statistical Society, Series C (Applied Statistics) (Volume 46) 1 171–181

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 Real (Kind=nag_wp) Input
On entry: the lower bound for the interval over which the random field is to be simulated. Note that if icov1=14 (for simulating fractional Brownian motion), xmin is not referenced and the lower bound for the interval is set to zero.
Constraint: if icov114, xmin<xmax.
3: xmax Real (Kind=nag_wp) Input
On entry: the upper bound for the interval over which the random field is to be simulated. Note that if icov1=14 (for simulating fractional Brownian motion), the lower bound for the interval is set to zero and so xmax is required to be greater than zero.
  • if icov114, xmin<xmax;
  • if icov1=14, xmax>0.0.
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 Real (Kind=nag_wp) Input
On entry: the multiplicative factor σ2 of the variogram γ(x).
Constraint: var0.0.
6: icov1 Integer Input
On entry: determines which of the preset variograms to use. The choices are given below. Note that x=|x|, where is the correlation length and is a parameter for most of the variograms, and σ2 is the variance specified by var.
Symmetric stable variogram
γ(x) = σ2 exp(- (x) ν) ,  
  • =params(1), >0,
  • ν=params(2), 0ν2.
Cauchy variogram
γ(x) = σ2 (1+ (x) 2 ) -ν ,  
  • =params(1), >0,
  • ν=params(2), ν>0.
Differential variogram with compact support
γ(x) = { σ2(1+8x+25(x)2+32(x)3)(1-x)8, x<1, 0, x1,  
  • =params(1), >0.
Exponential variogram
  • =params(1), >0.
Gaussian variogram
  • =params(1), >0.
Nugget variogram
γ(x)={ σ2, x=0, 0, x0.  
No parameters need be set for this value of icov1.
Spherical variogram
γ(x)={ σ2(1-1.5x+0.5(x)3), x<1, 0, x1,  
  • =params(1), >0.
Bessel variogram
  • Jν(·) is the Bessel function of the first kind,
  • =params(1), >0,
  • ν=params(2), ν-0.5.
Hole effect variogram
  • =params(1), >0.
Whittle-Matérn variogram
  • Kν(·) is the modified Bessel function of the second kind,
  • =params(1), >0,
  • ν=params(2), ν>0.
Continuously parameterised variogram with compact support
γ(x)={ σ221-ν(x)νKν(x)Γ(ν)(1+8x+25(x)2+32(x)3)(1-x)8, x<1, 0, x1,  
  • x = xs ,
  • Kν(·) is the modified Bessel function of the second kind,
  • =params(1), >0,
  • s=params(2), s>0 (second correlation length),
  • ν=params(3), ν>0.
Generalized hyperbolic distribution variogram
  • Kλ(·) is the modified Bessel function of the second kind,
  • =params(1), >0,
  • λ=params(2), no constraint on λ
  • δ=params(3), δ>0,
  • κ=params(4), κ>0.
Cosine variogram
  • =params(1), >0.
Used for simulating fractional Brownian motion BH(t). Fractional Brownian motion itself is not a stationary Gaussian random field, but its increments X~(i)=BH(ti)-BH(ti-1) can be simulated in the same way as a stationary random field. The variogram for the so-called ‘increment process’ is
  • x=tj-ti,
  • H=params(1), 0<H<1, H is the Hurst parameter,
  • δ=params(2), δ>0, normally δ=ti-ti-1 is the (fixed) step size.
We scale the increments to set γ(0)=1; let X(i)=X~(i)δ-H, then
C(X(ti),X(tj)) = γ(x) = 12 ( |xδ-1| 2H + |xδ+1| 2H -2 |xδ| 2H ) .  
The increments X(i) can then be simulated using g05zpf, then multiplied by δH to obtain the original increments X~(i) for the fractional Brownian motion.
Constraint: icov1=1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13 or 14.
7: np Integer Input
On entry: the number of parameters to be set. Different variograms need a different number of parameters.
np must be set to 0.
icov1=3, 4, 5, 7, 9 or 13
np must be set to 1.
icov1=1, 2, 8, 10 or 14
np must be set to 2.
np must be set to 3.
np must be set to 4.
8: params(np) Real (Kind=nag_wp) array Input
On entry: the parameters set for the variogram.
Constraint: see icov1 for a description of the individual parameter constraints.
9: pad Integer 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=1.
Constraint: pad=0 or 1.
10: icorr Integer Input
On entry: determines which approximation to implement if required, as described in Section 3.
Suggested value: icorr=0.
Constraint: icorr=0, 1 or 2.
11: lam(maxm) Real (Kind=nag_wp) array Output
On exit: contains the square roots of the eigenvalues of the embedding matrix.
12: xx(ns) Real (Kind=nag_wp) array Output
On exit: the points at which values of the random field will be output.
13: m Integer Output
On exit: the size of the embedding matrix.
14: approx Integer Output
On exit: indicates whether approximation was used.
No approximation was used.
Approximation was used.
15: rho Real (Kind=nag_wp) Output
On exit: indicates the scaling of the covariance matrix. rho=1.0 unless approximation was used with icorr=0 or 1.
16: icount Integer Output
On exit: indicates the number of negative eigenvalues in the embedding matrix which have had to be set to zero.
17: eig(3) Real (Kind=nag_wp) array Output
On exit: indicates information about the negative eigenvalues in the embedding matrix which have had to be set to zero. eig(1) contains the smallest eigenvalue, eig(2) contains the sum of the squares of the negative eigenvalues, and eig(3) contains the sum of the absolute values of the negative eigenvalues.
18: 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, ns=value.
Constraint: ns1.
On entry, icov114, xmin=value and xmax=value.
Constraint: xmin<xmax.
On entry, icov1=14 and xmax=value.
Constraint: xmax>0.0.
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, var=value.
Constraint: var0.0.
On entry, icov1=value.
Constraint: icov11 and icov114.
On entry, np=value.
Constraint: for icov1=value, np=value.
On entry, params(value)=value.
Constraint: dependent on icov1.
On entry, pad=value.
Constraint: pad=0 or 1.
On entry, icorr=value.
Constraint: icorr=0, 1 or 2.
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

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.
g05znf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g05znf 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 routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments


10 Example

This example calls g05znf to calculate the eigenvalues of the embedding matrix for 8 sample points of a random field characterized by the symmetric stable variogram (icov1=1).

10.1 Program Text

Program Text (g05znfe.f90)

10.2 Program Data

Program Data (g05znfe.d)

10.3 Program Results

Program Results (g05znfe.r)