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NAG Toolbox: nag_rand_int_geom (g05tc)

Purpose

nag_rand_int_geom (g05tc) generates a vector of pseudorandom integers from the discrete geometric distribution with probability pp of success at a trial.

Syntax

[r, state, x, ifail] = g05tc(mode, n, p, r, state)
[r, state, x, ifail] = nag_rand_int_geom(mode, n, p, r, state)

Description

nag_rand_int_geom (g05tc) generates nn integers xixi from a discrete geometric distribution, where the probability of xi = Ixi=I (a first success after I + 1I+1 trials) is
P (xi = I) = p × (1p)I ,   I = 0,1, .
P (xi=I) = p × (1-p) I ,   I=0,1, .
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_int_geom (g05tc) with the same parameter value can then use this reference vector to generate further variates. If the search table is not used (as recommended for small values of pp) then a direct transformation of uniform variates is used.
One of the initialization functions nag_rand_init_repeat (g05kf) (for a repeatable sequence if computed sequentially) or nag_rand_init_nonrepeat (g05kg) (for a non-repeatable sequence) must be called prior to the first call to nag_rand_int_geom (g05tc).

References

Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley

Parameters

Compulsory Input Parameters

1:     mode – int64int32nag_int scalar
A code for selecting the operation to be performed by the function.
mode = 0mode=0
Set up reference vector only.
mode = 1mode=1
Generate variates using reference vector set up in a prior call to nag_rand_int_geom (g05tc).
mode = 2mode=2
Set up reference vector and generate variates.
mode = 3mode=3
Generate variates without using the reference vector.
Constraint: mode = 0mode=0, 11, 22 or 33.
2:     n – int64int32nag_int scalar
nn, the number of pseudorandom numbers to be generated.
Constraint: n0n0.
3:     p – double scalar
The parameter pp of the geometric distribution representing the probability of success at a single trial.
Constraint: machine precisionp1.0machine precisionp1.0 (see nag_machine_precision (x02aj)).
4:     r(lr) – double array
lr, the dimension of the array, must satisfy the constraint
  • if mode = 0mode=0 or 22, lr30 / p + 8lr30/p+8;
  • if mode = 1mode=1, lr should remain unchanged from the previous call to nag_rand_int_geom (g05tc).
If mode = 1mode=1, the reference vector from the previous call to nag_rand_int_geom (g05tc).
If mode = 3mode=3, r is not referenced by nag_rand_int_geom (g05tc).
5:     state( : :) – int64int32nag_int array
Note: the actual argument supplied must be the array state supplied to the initialization routines nag_rand_init_repeat (g05kf) or nag_rand_init_nonrepeat (g05kg).
Contains information on the selected base generator and its current state.

Optional Input Parameters

None.

Input Parameters Omitted from the MATLAB Interface

lr

Output Parameters

1:     r(lr) – double array
The reference vector.
2:     state( : :) – int64int32nag_int array
Note: the actual argument supplied must be the array state supplied to the initialization routines nag_rand_init_repeat (g05kf) or nag_rand_init_nonrepeat (g05kg).
Contains updated information on the state of the generator.
3:     x(n) – int64int32nag_int array
The nn pseudorandom numbers from the specified geometric distribution.
4:     ifail – int64int32nag_int scalar
ifail = 0ifail=0 unless the function detects an error (see [Error Indicators and Warnings]).

Error Indicators and Warnings

Errors or warnings detected by the function:
  ifail = 1ifail=1
On entry, mode0mode0, 11, 22 or 33.
  ifail = 2ifail=2
On entry, n < 0n<0.
  ifail = 3ifail=3
On entry,p < 0.0p<0.0 or p > 1.0p>1.0,
ormode = 0mode=0 or 22 and p is so small that lr would have to be larger than the largest representable integer. Use mode = 3mode=3 in this case.
  ifail = 4ifail=4
On entry, p is not the same as when r was set up in a previous call to nag_rand_int_geom (g05tc) with mode = 0mode=0 or 22.
On entry, the r vector was not initialized correctly or has been corrupted.
  ifail = 5ifail=5
On entry, lr is too small when mode = 0mode=0 or 22.
  ifail = 6ifail=6
On entry,state vector was not initialized or has been corrupted.

Accuracy

Not applicable.

Further Comments

The time taken to set up the reference vector, if used, increases with the length of array r. However, if the reference vector is used, the time taken to generate numbers decreases as the space allotted to the index part of r increases. Nevertheless, there is a point, depending on the distribution, where this improvement becomes very small and the suggested value for the length of array r is designed to approximate this point.
If p is very small then the storage requirements for the reference vector and the time taken to set up the reference vector becomes prohibitive. In this case it is recommended that the reference vector is not used. This is achieved by selecting mode = 3mode=3.

Example

function nag_rand_int_geom_example
% Initialize the seed
seed = [int64(1762543)];
% genid and subid identify the base generator
genid = int64(1);
subid =  int64(1);
mode = int64(3);
n = int64(10);
p = 0.001;
r = zeros(40000, 1);
% Initialize the generator to a repeatable sequence
[state, ifail] = nag_rand_init_repeat(genid, subid, seed);
[r, state, x, ifail] = nag_rand_int_geom(mode, n, p, r, state);
 x
 ifail
 

x =

                  451
                 2238
                  292
                  225
                 2256
                  708
                  955
                  239
                  696
                  397


ifail =

                    0


function g05tc_example
% Initialize the seed
seed = [int64(1762543)];
% genid and subid identify the base generator
genid = int64(1);
subid =  int64(1);
mode = int64(3);
n = int64(10);
p = 0.001;
r = zeros(40000, 1);
% Initialize the generator to a repeatable sequence
[state, ifail] = g05kf(genid, subid, seed);
[r, state, x, ifail] = g05tc(mode, n, p, r, state);
 x
 ifail
 

x =

                  451
                 2238
                  292
                  225
                 2256
                  708
                  955
                  239
                  696
                  397


ifail =

                    0



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