nag_rand_exp_mix (g05sgc) (PDF version)
g05 Chapter Contents
g05 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_rand_exp_mix (g05sgc)


    1  Purpose
    7  Accuracy

1  Purpose

nag_rand_exp_mix (g05sgc) generates a vector of pseudorandom numbers from an exponential mix distribution composed of m exponential distributions each having a mean ai and weight wi.

2  Specification

#include <nag.h>
#include <nagg05.h>
void  nag_rand_exp_mix (Integer n, Integer nmix, const double a[], const double wgt[], Integer state[], double x[], NagError *fail)

3  Description

The distribution has PDF (probability density function)
fx = i=1m 1ai wi e-x/ai if ​x0, fx = 0 otherwise,  
where i=1mwi=1 and ai>0, wi0.
nag_rand_exp_mix (g05sgc) returns the values xi by selecting, with probability wj, random variates from an exponential distribution with argument aj.
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_exp_mix (g05sgc).

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:     n IntegerInput
On entry: n, the number of pseudorandom numbers to be generated.
Constraint: n0.
2:     nmix IntegerInput
On entry: m, the number of exponential distributions in the mix.
Constraint: nmix1.
3:     a[nmix] const doubleInput
On entry: the m parameters ai for the m exponential distributions in the mix.
Constraint: a[i-1]>0.0, for i=1,2,,nmix.
4:     wgt[nmix] const doubleInput
On entry: the m weights wi for the m exponential distributions in the mix.
  • i=1mwgt[i-1]=1.0;
  • wgt[i-1]0.0, for i=1,2,,m.
5:     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.
6:     x[n] doubleOutput
On exit: the n pseudorandom numbers from the specified exponential mix distribution.
7:     fail NagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

Dynamic memory allocation failed.
See Section in the Essential Introduction for further information.
On entry, argument value had an illegal value.
On entry, n=value.
Constraint: n0.
On entry, nmix=value.
Constraint: nmix1.
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.
An unexpected error has been triggered by this function. Please contact NAG.
See Section 3.6.6 in the Essential Introduction for further information.
On entry, state vector has been corrupted or not initialized.
Your licence key may have expired or may not have been installed correctly.
See Section 3.6.5 in the Essential Introduction for further information.
On entry, a[value]=value.
Constraint: a[i-1]>0.0.
On entry, sum of wgt=value.
Constraint: sum of wgt=1.0.
On entry, wgt[value]=value.
Constraint: wgt[i-1]0.0.

7  Accuracy

Not applicable.

8  Parallelism and Performance

nag_rand_exp_mix (g05sgc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9  Further Comments


10  Example

This example prints the first five pseudorandom numbers from an exponential mix distribution comprising three exponential distributions with parameters a1=1.0, a2=5.0 and a3=2.0, and with respective weights 0.5, 0.3 and 0.2. The numbers are generated by a single call to nag_rand_exp_mix (g05sgc), after initialization by nag_rand_init_repeatable (g05kfc).

10.1  Program Text

Program Text (g05sgce.c)

10.2  Program Data


10.3  Program Results

Program Results (g05sgce.r)

nag_rand_exp_mix (g05sgc) (PDF version)
g05 Chapter Contents
g05 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2015