nag_rand_poisson (g05tjc) (PDF version)
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NAG Library Manual

NAG Library Function Document

nag_rand_poisson (g05tjc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_rand_poisson (g05tjc) generates a vector of pseudorandom integers from the discrete Poisson distribution with mean λ.

2  Specification

#include <nag.h>
#include <nagg05.h>
void  nag_rand_poisson (Nag_ModeRNG mode, Integer n, double lambda, double r[], Integer lr, Integer state[], Integer x[], NagError *fail)

3  Description

nag_rand_poisson (g05tjc) generates n integers xi from a discrete Poisson distribution with mean λ, where the probability of xi=I is
Pxi=I= λI×e-λ I! ,  I=0,1,,
where λ0.
The variates can be generated with or without using a search table and index. If a search table is used then it is stored with the index in a reference vector and subsequent calls to nag_rand_poisson (g05tjc) with the same parameter values can then use this reference vector to generate further variates. The reference array is found using a recurrence relation if λ is less than 50 and by Stirling's formula otherwise.
One of the initialization functions nag_rand_init_repeatable (g05kfc) (for a repeatable sequence if computed sequentially) or nag_rand_init_nonrepeatable (g05kgc) (for a non-repeatable sequence) must be called prior to the first call to nag_rand_poisson (g05tjc).

4  References

Kendall M G and Stuart A (1969) The Advanced Theory of Statistics (Volume 1) (3rd Edition) Griffin
Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley

5  Arguments

1:     modeNag_ModeRNGInput
On entry: a code for selecting the operation to be performed by the function.
Set up reference vector only.
Generate variates using reference vector set up in a prior call to nag_rand_poisson (g05tjc).
Set up reference vector and generate variates.
Generate variates without using the reference vector.
Constraint: mode=Nag_InitializeReference, Nag_GenerateFromReference, Nag_InitializeAndGenerate or Nag_GenerateWithoutReference.
2:     nIntegerInput
On entry: n, the number of pseudorandom numbers to be generated.
Constraint: n0.
3:     lambdadoubleInput
On entry: λ, the mean of the Poisson distribution.
Constraint: lambda0.0.
4:     r[lr]doubleCommunication Array
On entry: if mode=Nag_GenerateFromReference, the reference vector from the previous call to nag_rand_poisson (g05tjc).
If mode=Nag_GenerateWithoutReference, r is not referenced and may be NULL.
On exit: if modeNag_GenerateWithoutReference, the reference vector.
5:     lrIntegerInput
On entry: the dimension of the array r.
Suggested values:
  • if modeNag_GenerateWithoutReference, lr=30+20×lambda+lambda;
  • otherwise lr=1.
  • if mode=Nag_InitializeReference or Nag_InitializeAndGenerate,
    • if lambda>7.15, lr>9+int8.5+14.3×lambda;
    • otherwise lr>9+intlambda+7.15×lambda+8.5;
  • if mode=Nag_GenerateFromReference, lr must remain unchanged from the previous call to nag_rand_poisson (g05tjc).
6:     state[dim]IntegerCommunication Array
Note: the dimension, dim, 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.
7:     x[n]IntegerOutput
On exit: the n pseudorandom numbers from the specified Poisson distribution.
8:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

On entry, argument value had an illegal value.
On entry, lr is too small when mode=Nag_InitializeReference or Nag_InitializeAndGenerate: lr=value, minimum length required =value.
On entry, n=value.
Constraint: n0.
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.
On entry, state vector has been corrupted or not initialized.
lambda is not the same as when r was set up in a previous call.
Previous value of lambda=value and lambda=value.
lambda is such that lr would have to be larger than the largest representable integer. Use mode=Nag_GenerateWithoutReference instead. lambda=value.
On entry, lambda=value.
Constraint: lambda0.0.
On entry, some of the elements of the array r have been corrupted or have not been initialized.

7  Accuracy

Not applicable.

8  Parallelism and Performance

Not applicable.

9  Further Comments


10  Example

This example prints 10 pseudorandom integers from a Poisson distribution with mean λ=20, generated by a single call to nag_rand_poisson (g05tjc), after initialization by nag_rand_init_repeatable (g05kfc).

10.1  Program Text

Program Text (g05tjce.c)

10.2  Program Data


10.3  Program Results

Program Results (g05tjce.r)

nag_rand_poisson (g05tjc) (PDF version)
g05 Chapter Contents
g05 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2014