/* nag_rand_matrix_multi_normal (g05rzc) Example Program. * * Copyright 2008, Numerical Algorithms Group. * * Mark 9, 2009. */ /* Pre-processor includes */ #include #include #include #include #include #define X(I, J) x[(order == Nag_ColMajor)?(J*pdx + I):(I*pdx + J)] #define C(I, J) c[(order == Nag_ColMajor)?(J*pdc + I):(I*pdc + J)] int main(void) { /* Integer scalar and array declarations */ Integer exit_status = 0; Integer i, j, lstate, lr, x_size; Integer *state = 0; Integer pdx; /* NAG structures */ NagError fail; Nag_ModeRNG mode; /* Double scalar and array declarations */ double *r = 0, *x = 0; /* Use column major order */ Nag_OrderType order = Nag_RowMajor; /* Set the number of variables and variates */ Integer m = 4; Integer n = 10; /* Input the covariance matrix */ double c[] = { 1.69e0, 0.39e0, -1.86e0, 0.07e0, 0.39e0, 98.01e0, -7.07e0, -0.71e0, -1.86e0, -7.07e0, 11.56e0, 0.03e0, 0.07e0, -0.71e0, 0.03e0, 0.01e0 }; Integer pdc = 4; /* Input the means */ double xmu[] = { 1.0e0, 2.0e0, -3.0e0, 0.0e0 }; /* Choose the base generator */ Nag_BaseRNG genid = Nag_Basic; Integer subid = 0; /* Set the seed */ Integer seed[] = { 1762543 }; Integer lseed = 1; /* Initialise the error structure */ INIT_FAIL(fail); printf("nag_rand_matrix_multi_normal (g05rzc)" " Example Program Results\n\n"); /* Get the length of the state array */ lstate = -1; nag_rand_init_repeatable(genid, subid, seed, lseed, state, &lstate, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_rand_init_repeatable (g05kfc).\n%s\n", fail.message); exit_status = 1; goto END; } pdx = (order == Nag_ColMajor)?n:m; x_size = (order == Nag_ColMajor)?pdx * m:pdx * n; /* Calculate the size of the reference vector */ lr = m*m+m+1; /* Allocate arrays */ if (!(r = NAG_ALLOC(lr, double)) || !(x = NAG_ALLOC(x_size, double)) || !(state = NAG_ALLOC(lstate, Integer))) { printf("Allocation failure\n"); exit_status = -1; goto END; } /* Initialise the generator to a repeatable sequence */ nag_rand_init_repeatable(genid, subid, seed, lseed, state, &lstate, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_rand_init_repeatable (g05kfc).\n%s\n", fail.message); exit_status = 1; goto END; } /* Set up reference vector and generate n numbers */ mode = Nag_InitializeAndGenerate; nag_rand_matrix_multi_normal(order, mode, n, m, xmu, c, pdc, r, lr, state, x, pdx, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_rand_matrix_multi_normal (g05rzc).\n%s\n", fail.message); exit_status = 1; goto END; } /* Display the variates */ for (i = 0; i < n; i++) { printf(" "); for (j = 0; j < m; j++) printf("%9.4f%s", X(i, j), (j+1)%10?" ":"\n"); if (m%10) printf("\n"); } END: if (r) NAG_FREE(r); if (x) NAG_FREE(x); if (state) NAG_FREE(state); return exit_status; }