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NAG Toolbox

NAG Toolbox: nag_rand_init_nonrepeat (g05kg)

Purpose

nag_rand_init_nonrepeat (g05kg) initializes the selected base generator to generate a non-repeatable sequence of variates. The base generator can then be used by the group of pseudorandom number functions (see nag_rand_init_leapfrog (g05kh)nag_rand_init_skipahead (g05kj), nag_rand_permute (g05nc), nag_rand_sample (g05nd), nag_rand_times_garch_asym1 (g05pd)nag_rand_times_mv_varma (g05pj), nag_rand_matrix_orthog (g05px)nag_rand_matrix_2waytable (g05pz), nag_rand_copula_students_t (g05rc), nag_rand_copula_normal (g05rd), nag_rand_multivar_students_t (g05ry), nag_rand_multivar_normal (g05rz) and nag_rand_dist_uniform01 (g05sa)nag_rand_int_uniform (g05tl)) and the quasi-random scrambled sequence initialization function, nag_rand_quasi_init_scrambled (g05yn).

Syntax

[state, ifail] = g05kg(genid, subid)
[state, ifail] = nag_rand_init_nonrepeat(genid, subid)

Description

nag_rand_init_nonrepeat (g05kg) selects a base generator through the input value of the parameters genid and subid, and then initializes it based on the values taken from the real-time clock, resulting in the same base generator yielding different sequences of random numbers each time the calling program is run. It should be noted that there is no guarantee of statistical properties between sequences, only within sequences.
A definition of some of the terms used in this description, along with details of the various base generators can be found in the G05 Chapter Introduction.

References

L'Ecuyer P and Simard R (2002) TestU01: a software library in ANSI C for empirical testing of random number generators Departement d'Informatique et de Recherche Operationnelle, Universite de Montreal http://www.iro.umontreal.ca/~lecuyer
Maclaren N M (1989) The generation of multiple independent sequences of pseudorandom numbers Appl. Statist. 38 351–359
Matsumoto M and Nishimura T (1998) Mersenne twister: a 623-dimensionally equidistributed uniform pseudorandom number generator ACM Transactions on Modelling and Computer Simulations
Wichmann B A and Hill I D (2006) Generating good pseudo-random numbers Computational Statistics and Data Analysis 51 1614–1622
Wikramaratna R S (1989) ACORN - a new method for generating sequences of uniformly distributed pseudo-random numbers Journal of Computational Physics 83 16–31

Parameters

Compulsory Input Parameters

1:     genid – int64int32nag_int scalar
Must contain the type of base generator to use.
genid = 1genid=1
NAG basic generator.
genid = 2genid=2
Wichmann Hill I generator.
genid = 3genid=3
Mersenne Twister.
genid = 4genid=4
Wichmann Hill II generator.
genid = 5genid=5
ACORN generator.
genid = 6genid=6
L'Ecuyer MRG32k3a generator.
See the G05 Chapter Introduction for details of each of the base generators.
Constraint: genid = 1genid=1, 22, 33, 44, 55 or 66.
2:     subid – int64int32nag_int scalar
If genid = 2genid=2, subid indicates which of the 273273 sub-generators to use. In this case, the ((|subid| + 272)  mod  273) + 1 ( ( |subid| +272 )  mod  273 ) + 1  sub-generator is used.
If genid = 5genid=5, subid indicates the values of kk and pp to use, where kk is the order of the generator, and pp controls the size of the modulus, MM, with M = 2(p × 30) M = 2 (p×30) . If subid < 1subid<1, the default values of k = 10k=10 and p = 2p=2 are used, otherwise values for kk and pp are calculated from the formula, subid = k + 1000(p1)subid=k+1000(p-1).
If genid = 6genid=6 and subid  mod  2 = 0subid mod 2=0 the range of the generator is set to (0,1](0,1], otherwise the range is set to (0,1)(0,1); in this case the sequence is identical to the implementation of MRG32k3a in TestU01 (see L'Ecuyer and Simard (2002)) for identical seeds.
For all other values of genid, subid is not referenced.

Optional Input Parameters

None.

Input Parameters Omitted from the MATLAB Interface

lstate

Output Parameters

1:     state(lstate) – int64int32nag_int array
Contains information on the selected base generator and its current state.
2:     ifail – int64int32nag_int scalar
ifail = 0ifail=0 unless the function detects an error (see [Error Indicators and Warnings]).
For environments where it might be inappropriate to halt program execution when an error is detected, the value 1​ or ​1-1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 11 is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is 00. When the value 1​ or ​1-1​ or ​1 is used it is essential to test the value of ifail on exit.

Error Indicators and Warnings

Errors or warnings detected by the function:
  ifail = 1ifail=-1
Minimum length for state array returned in parameter lstate but state array not initialized.
  ifail = 1ifail=1
On entry, genid1genid1, 22, 33, 44, 55 or 66.
  ifail = 2ifail=2
Invalid subid.
  ifail = 4ifail=4
On entry, lstate > 0lstate>0 and lstate is too small for specified base generator.

Accuracy

Not applicable.

Further Comments

None.

Example

function nag_rand_init_nonrepeat_example
% genid and subid identify the base generator
genid = int64(1);
subid =  int64(1);
% The number of pseudorandom numbers to be generated
n = int64(5);
% Initialize the generator to an unrepeatable sequence
[state, ifail] = nag_rand_init_nonrepeat(genid, subid);
[state, x, ifail] = nag_rand_dist_uniform01(n, state)
 

state =

                   17
                 1234
                    1
                    0
                18886
                25611
                26367
                28190
                17917
                13895
                19930
                    8
                    0
                 1234
                    1
                    1
                 1234


x =

    0.4785
    0.1736
    0.0901
    0.0089
    0.1397


ifail =

                    0


function g05kg_example
% genid and subid identify the base generator
genid = int64(1);
subid =  int64(1);
% The number of pseudorandom numbers to be generated
n = int64(5);
% Initialize the generator to an unrepeatable sequence
[state, ifail] = g05kg(genid, subid);
[state, x, ifail] = g05sa(n, state)
 

state =

                   17
                 1234
                    1
                    0
                 6306
                26804
                29580
                20876
                17917
                13895
                19930
                    8
                    0
                 1234
                    1
                    1
                 1234


x =

    0.8607
    0.7444
    0.3684
    0.0272
    0.3629


ifail =

                    0



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Chapter Contents
Chapter Introduction
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