NAG FL Interfaceg05ylf (quasi_​init)

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1Purpose

g05ylf initializes a quasi-random generator prior to calling g05yjf, g05ykf or g05ymf.

2Specification

Fortran Interface
 Subroutine g05ylf ( idim, iref,
 Integer, Intent (In) :: genid, idim, liref, iskip Integer, Intent (Inout) :: iref(liref), ifail
#include <nag.h>
 void g05ylf_ (const Integer *genid, const Integer *idim, Integer iref[], const Integer *liref, const Integer *iskip, Integer *ifail)
The routine may be called by the names g05ylf or nagf_rand_quasi_init.

3Description

g05ylf selects a quasi-random number generator through the input value of genid and initializes the iref communication array for use by the routines g05yjf, g05ykf or g05ymf.
One of three types of quasi-random generator may be chosen, allowing the low-discrepancy sequences proposed by Sobol, Faure or Niederreiter to be generated.
Two sets of Sobol sequences are supplied, the first, is based on the work of Joe and Kuo (2008). The second, referred to in the documentation as "Sobol (A659)", is based on Algorithm 659 of Bratley and Fox (1988) with the extension to 1111 dimensions proposed by Joe and Kuo (2003). Both sets of Sobol sequences should satisfy the so-called Property A, up to $1111$ dimensions, but the first set should have better two-dimensional projections than those produced using Algorithm 659.

4References

Bratley P and Fox B L (1988) Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software 14(1) 88–100
Fox B L (1986) Algorithm 647: implementation and relative efficiency of quasirandom sequence generators ACM Trans. Math. Software 12(4) 362–376
Joe S and Kuo F Y (2003) Remark on Algorithm 659: implementing Sobol's quasirandom sequence generator ACM Trans. Math. Software (TOMS) 29 49–57
Joe S and Kuo F Y (2008) Constructing Sobol sequences with better two-dimensional projections SIAM J. Sci. Comput. 30 2635–2654

5Arguments

1: $\mathbf{genid}$Integer Input
On entry: must identify the quasi-random generator to use.
${\mathbf{genid}}=1$
Sobol generator.
${\mathbf{genid}}=2$
Sobol (A659) generator.
${\mathbf{genid}}=3$
Niederreiter generator.
${\mathbf{genid}}=4$
Faure generator.
Constraint: ${\mathbf{genid}}=1$, $2$, $3$ or $4$.
2: $\mathbf{idim}$Integer Input
On entry: the number of dimensions required.
Constraints:
• if ${\mathbf{genid}}=1$, $1\le {\mathbf{idim}}\le 10000$;
• if ${\mathbf{genid}}=2$, $1\le {\mathbf{idim}}\le 1111$;
• if ${\mathbf{genid}}=3$, $1\le {\mathbf{idim}}\le 318$;
• if ${\mathbf{genid}}=4$, $1\le {\mathbf{idim}}\le 40$.
3: $\mathbf{iref}\left({\mathbf{liref}}\right)$Integer array Communication Array
On exit: contains initialization information for use by the generator routines g05yjf, g05ykf and g05ymf. iref must not be altered in any way between initialization and calls of the generator routines.
4: $\mathbf{liref}$Integer Input
On entry: the dimension of the array iref as declared in the (sub)program from which g05ylf is called.
Constraints:
• if ${\mathbf{genid}}=1$, $2$ or $3$, ${\mathbf{liref}}\ge 32×{\mathbf{idim}}+7$;
• if ${\mathbf{genid}}=4$, ${\mathbf{liref}}\ge 407$.
5: $\mathbf{iskip}$Integer Input
On entry: the number of terms of the sequence to skip on initialization for the Sobol and Niederreiter generators. If ${\mathbf{genid}}=4$, iskip is ignored.
Constraint: if ${\mathbf{genid}}=1$, $2$ or $3$, $0\le {\mathbf{iskip}}\le {2}^{30}$.
6: $\mathbf{ifail}$Integer Input/Output
On entry: ifail must be set to $0$, $-1$ or $1$ to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of $0$ causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of $-1$ means that an error message is printed while a value of $1$ means that it is not.
If halting is not appropriate, the value $-1$ or $1$ is recommended. If message printing is undesirable, then the value $1$ is recommended. Otherwise, the value $0$ is recommended. When the value $-\mathbf{1}$ or $\mathbf{1}$ is used it is essential to test the value of ifail on exit.
On exit: ${\mathbf{ifail}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see Section 6).

6Error Indicators and Warnings

If on entry ${\mathbf{ifail}}=0$ or $-1$, explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
${\mathbf{ifail}}=1$
On entry, ${\mathbf{genid}}=⟨\mathit{\text{value}}⟩$.
Constraint: ${\mathbf{genid}}=1$, $2$, $3$ or $4$.
${\mathbf{ifail}}=2$
On entry, ${\mathbf{idim}}=⟨\mathit{\text{value}}⟩$.
Constraint: $1\le {\mathbf{idim}}\le ⟨\mathit{\text{value}}⟩$.
${\mathbf{ifail}}=4$
On entry, liref is too small: ${\mathbf{liref}}=⟨\mathit{\text{value}}⟩$, minimum length is $⟨\mathit{\text{value}}⟩$.
${\mathbf{ifail}}=5$
On entry, ${\mathbf{iskip}}<0$ or iskip is too large: ${\mathbf{iskip}}=⟨\mathit{\text{value}}⟩$, maximum value is $⟨\mathit{\text{value}}⟩$.
${\mathbf{ifail}}=-99$
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
${\mathbf{ifail}}=-399$
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
${\mathbf{ifail}}=-999$
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

Not applicable.

8Parallelism and Performance

g05ylf 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 routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

The primitive polynomials and direction numbers used for the Sobol generator (${\mathbf{genid}}=1$) were calculated by Joe and Kuo (2008) using the search critera ${D}^{\left(6\right)}$.