nag_quasi_init (g05ylc) (PDF version)
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g05 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_quasi_init (g05ylc)

+ Contents

    1  Purpose
    7  Accuracy
    9  Example

1  Purpose

nag_quasi_init (g05ylc) initializes a quasi-random generator prior to calling nag_quasi_rand_normal (g05yjc), nag_quasi_rand_lognormal (g05ykc) or nag_quasi_rand_uniform (g05ymc).

2  Specification

#include <nag.h>
#include <nagg05.h>
void  nag_quasi_init (Nag_QuasiRandom_Sequence genid, Integer idim, Integer iref[], Integer liref, Integer iskip, NagError *fail)

3  Description

nag_quasi_init (g05ylc) selects a quasi-random number generator through the input value of genid and initializes the iref communication array for use by the functions nag_quasi_rand_normal (g05yjc), nag_quasi_rand_lognormal (g05ykc) or nag_quasi_rand_uniform (g05ymc).
One of three types of quasi-random generator may be chosen, allowing the low-discrepancy sequences proposed by Sobol, Faure or Niederreiter to be generated.
Two sets of Sobol sequences are supplied, the first, is based on the work of Joe and Kuo (2008). The second, referred to in the documentation as "Sobol (A659)", is based on Algorithm 659 of Bratley and Fox (1988) with the extension to 1111 dimensions proposed by Joe and Kuo (2003). Both sets of Sobol sequences should satisfy the so-called Property A, up to 1111 dimensions, but the first set should have better two-dimensional projections than those produced using Algorithm 659.

4  References

Bratley P and Fox B L (1988) Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software 14(1) 88–100
Fox B L (1986) Algorithm 647: implementation and relative efficiency of quasirandom sequence generators ACM Trans. Math. Software 12(4) 362–376
Joe S and Kuo F Y (2003) Remark on Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software (TOMS) 29 49–57
Joe S and Kuo F Y (2008) Constructing Sobol sequences with better two-dimensional projections SIAM J. Sci. Comput. 30 2635–2654

5  Arguments

1:     genidNag_QuasiRandom_SequenceInput
On entry: must identify the quasi-random generator to use.
genid=Nag_QuasiRandom_Sobol
Sobol generator.
genid=Nag_QuasiRandom_SobolA659
Sobol (A659) generator.
genid=Nag_QuasiRandom_Nied
Niederreiter generator.
genid=Nag_QuasiRandom_Faure
Faure generator.
Constraint: genid=Nag_QuasiRandom_Sobol, Nag_QuasiRandom_SobolA659, Nag_QuasiRandom_Nied or Nag_QuasiRandom_Faure.
2:     idimIntegerInput
On entry: the number of dimensions required.
Constraints:
  • if genid=Nag_QuasiRandom_Sobol, 1idim10000;
  • if genid=Nag_QuasiRandom_SobolA659, 1idim1111;
  • if genid=Nag_QuasiRandom_Nied, 1idim318;
  • if genid=Nag_QuasiRandom_Faure, 1idim40.
3:     iref[liref]IntegerCommunication Array
On exit: contains initialization information for use by the generator functions nag_quasi_rand_normal (g05yjc), nag_quasi_rand_lognormal (g05ykc) and nag_quasi_rand_uniform (g05ymc). iref must not be altered in any way between initialization and calls of the generator functions.
4:     lirefIntegerInput
On entry: the dimension of the array iref.
Constraints:
  • if genid=Nag_QuasiRandom_Sobol, Nag_QuasiRandom_SobolA659 or Nag_QuasiRandom_Nied, liref32×idim+7;
  • if genid=Nag_QuasiRandom_Faure, liref407.
5:     iskipIntegerInput
On entry: the number of terms of the sequence to skip on initialization for the Sobol and Niederreiter generators. If genid=Nag_QuasiRandom_Faure, iskip is ignored.
Constraint: if genid=Nag_QuasiRandom_Sobol, Nag_QuasiRandom_SobolA659 or Nag_QuasiRandom_Nied, 0iskip230.
6:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_INT
On entry, idim=value.
Constraint: 1idimvalue.
On entry, iskip<0 or iskip is too large: iskip=value, maximum value is value.
On entry, liref is too small: liref=value, minimum length is value.
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.

7  Accuracy

Not applicable.

8  Further Comments

The primitive polynomials and direction numbers used for the Sobol generator (genid=Nag_QuasiRandom_Sobol) were calculated by Joe and Kuo (2008) using the search critera D6.

9  Example

See Section 9 in nag_quasi_rand_uniform (g05ymc).

nag_quasi_init (g05ylc) (PDF version)
g05 Chapter Contents
g05 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012