NAG Library Routine Document
G05ZPF produces realisations of a stationary Gaussian random field in one dimension, using the circulant embedding method. The square roots of the eigenvalues of the extended covariance matrix (or embedding matrix) need to be input, and can be calculated using G05ZMF
||NS, S, M, STATE(*), IFAIL
||LAM(M), RHO, Z(NS,S)
A one-dimensional random field in is a function which is random at every point , so is a random variable for each . The random field has a mean function and a symmetric non-negative definite covariance function . is a Gaussian random field if for any choice of and , the random vector follows a multivariate Gaussian distribution, which would have a mean vector with entries and a covariance matrix with entries . A Gaussian random field is stationary if is constant for all and for all and hence we can express the covariance function as a function of one variable: . is known as a variogram (or more correctly, a semivariogram) and includes the multiplicative factor representing the variance such that .
The routines G05ZMF
, along with G05ZPF, are used to simulate a one-dimensional stationary Gaussian random field, with mean function zero and variogram
, over an interval
, using an equally spaced set of
gridpoints. The problem reduces to sampling a Gaussian random vector
, with mean vector zero and a symmetric Toeplitz covariance matrix
is in general expensive to factorize, a technique known as the circulant embedding method
is embedded into a larger, symmetric circulant matrix
, which can now be factorized as
is the Fourier matrix (
is the complex conjugate of
is the diagonal matrix containing the eigenvalues of
is known as the embedding matrix. The eigenvalues can be calculated by performing a discrete Fourier transform of the first row (or column) of
and multiplying by
, and so only the first row (or column) of
is needed – the whole matrix does not need to be formed.
As long as all of the values of are non-negative (i.e., is non-negative definite), is a covariance matrix for a random vector , two samples of which can now be simulated from the real and imaginary parts of , where and have elements from the standard Normal distribution. Since , this calculation can be done using a discrete Fourier transform of the vector . Two samples of the random vector can now be recovered by taking the first elements of each sample of – because the original covariance matrix is embedded in , will have the correct distribution.
is not non-negative definite, larger embedding matrices
can be tried; however if the size of the matrix would have to be larger than MAXM
, an approximation procedure is used. See the documentation of G05ZMF
for details of the approximation procedure.
G05ZPF takes the square roots of the eigenvalues of the embedding matrix , and its size , as input and outputs realisations of the random field in .
One of the initialization routines G05KFF
(for a repeatable sequence if computed sequentially) or G05KGF
(for a non-repeatable sequence) must be called prior to the first call to G05ZPF.
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 Journal of Computational and Graphical Statistics 3(4) 409–432
- 1: NS – INTEGERInput
: the number of sample points (grid points) to be generated in realisations of the random field. This must be the same value as supplied to G05ZMF
when calculating the eigenvalues of the embedding matrix.
- 2: S – INTEGERInput
On entry: the number of realisations of the random field to simulate.
- 3: M – INTEGERInput
: the size of the embedding matrix, as returned by G05ZMF
- 4: LAM(M) – REAL (KIND=nag_wp) arrayInput
: must contain the square roots of the eigenvalues of the embedding matrix, as returned by G05ZMF
- 5: RHO – REAL (KIND=nag_wp)Input
: indicates the scaling of the covariance matrix, as returned by G05ZMF
- 6: STATE() – INTEGER arrayCommunication Array
the actual argument supplied must be the array STATE
supplied to the initialization routines G05KFF
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: Z(NS,S) – REAL (KIND=nag_wp) arrayOutput
: contains the realisations of the random field. Each column of
contains one realisation of the random field, with
, corresponding to the gridpoint
as returned by G05ZMF
- 8: IFAIL – INTEGERInput/Output
must be set to
. If you are unfamiliar with this parameter you should refer to Section 3.3
in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
is recommended. If the output of error messages is undesirable, then the value
is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is
. When the value is used it is essential to test the value of IFAIL on exit.
unless the routine detects an error or a warning has been flagged (see Section 6
6 Error Indicators and Warnings
If on entry
, explanatory error messages are output on the current error message unit (as defined by X04AAF
Errors or warnings detected by the routine:
On entry, .
On entry, .
On entry, and .
On entry, at least one element of LAM
Constraint: all elements of LAM
must be non-negative.
On entry, .
On entry, STATE
vector has been corrupted or not initialized.
Because samples are generated in pairs, calling this routine times, with , say, will generate a different sequence of numbers than calling the routine once with , unless is even.
This example calls G05ZPF to generate
realisations of a random field on
sample points using eigenvalues calculated by G05ZNF
for a symmetric stable variogram.
9.1 Program Text
Program Text (g05zpfe.f90)
9.2 Program Data
Program Data (g05zpfe.d)
9.3 Program Results
Program Results (g05zpfe.r)