g05zmf performs the setup required in order to simulate stationary Gaussian random fields in one dimension, for a user-defined variogram, using the circulant embedding method. Specifically, the eigenvalues of the extended covariance matrix (or embedding matrix) are calculated, and their square roots output, for use by g05zpf, which simulates the random field.
The routine may be called by the names g05zmf or nagf_rand_field_1d_user_setup.
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 positive semidefinite covariance function . is a Gaussian random field if for any choice of and , the random vector follows a multivariate Normal 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 and 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 points on the interval. The problem reduces to sampling a Normal random vector of size , with mean vector zero and a symmetric Toeplitz covariance matrix . Since is in general expensive to factorize, a technique known as the circulant embedding method is used. is embedded into a larger, symmetric circulant matrix of size , which can now be factorized as , where is the Fourier matrix ( is the complex conjugate of ), is the diagonal matrix containing the eigenvalues of and . 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 positive semidefinite), 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.
If is not positive semidefinite, 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. We write , where and contain the non-negative and negative eigenvalues of respectively. Then is replaced by where and is a scaling factor. The error in approximating the distribution of the random field is given by
Three choices for are available, and are determined by the input argument icorr:
setting sets .
g05zmf finds a suitable positive semidefinite embedding matrix and outputs its size, m, and the square roots of its eigenvalues in lam. If approximation is used, information regarding the accuracy of the approximation is output. Note that only the first row (or column) of is actually formed and stored.
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 Statistics3(4) 409–432
1: – IntegerInput
On entry: the number of sample points to be generated in realizations of the random field.
2: – Real (Kind=nag_wp)Input
On entry: the lower bound for the interval over which the random field is to be simulated.
3: – Real (Kind=nag_wp)Input
On entry: the upper bound for the interval over which the random field is to be simulated.
4: – IntegerInput
On entry: the maximum size of the circulant matrix to use. For example, if the embedding matrix is to be allowed to double in size three times before the approximation procedure is used, then choose where .
, where is the smallest integer satisfying .
5: – Real (Kind=nag_wp)Input
On entry: the multiplicative factor of the variogram .
6: – Subroutine, supplied by the user.External Procedure
cov1 must evaluate the variogram , without the multiplicative factor , for all . The value returned in gamma is multiplied internally by var.
On entry: the value at which the variogram is to be evaluated.
2: – Real (Kind=nag_wp)Output
On exit: the value of the variogram .
3: – Integer arrayUser Workspace
4: – Real (Kind=nag_wp) arrayUser Workspace
cov1 is called with the arguments iuser and ruser as supplied to g05zmf. You should use the arrays iuser and ruser to supply information to cov1.
cov1 must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which g05zmf is called. Arguments denoted as Input must not be changed by this procedure.
Note:cov1 should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by g05zmf. If your code inadvertently does return any NaNs or infinities, g05zmf is likely to produce unexpected results.
7: – IntegerInput
On entry: determines whether the embedding matrix is padded with zeros, or padded with values of the variogram. The choice of padding may affect how big the embedding matrix must be in order to be positive semidefinite.
The embedding matrix is padded with zeros.
The embedding matrix is padded with values of the variogram.
8: – IntegerInput
On entry: determines which approximation to implement if required, as described in Section 3.
, or .
9: – Real (Kind=nag_wp) arrayOutput
On exit: contains the square roots of the eigenvalues of the embedding matrix.
10: – Real (Kind=nag_wp) arrayOutput
On exit: the points at which values of the random field will be output.
11: – IntegerOutput
On exit: the size of the embedding matrix.
12: – IntegerOutput
On exit: indicates whether approximation was used.
No approximation was used.
Approximation was used.
13: – Real (Kind=nag_wp)Output
On exit: indicates the scaling of the covariance matrix. unless approximation was used with or .
14: – IntegerOutput
On exit: indicates the number of negative eigenvalues in the embedding matrix which have had to be set to zero.
15: – Real (Kind=nag_wp) arrayOutput
On exit: indicates information about the negative eigenvalues in the embedding matrix which have had to be set to zero. contains the smallest eigenvalue, contains the sum of the squares of the negative eigenvalues, and contains the sum of the absolute values of the negative eigenvalues.
16: – Integer arrayUser Workspace
17: – Real (Kind=nag_wp) arrayUser Workspace
iuser and ruser are not used by g05zmf, but are passed directly to cov1 and may be used to pass information to this routine.
18: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
On entry, . Constraint: .
On entry, and . Constraint: .
On entry, .
Constraint: the minimum calculated value for maxm is .
Where the minimum calculated value is given by , where is the smallest integer satisfying .
On entry, . Constraint: .
On entry, . Constraint: or .
On entry, . Constraint: , or .
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
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.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
If on exit , see the comments in Section 3 regarding the quality of approximation; increase the value of maxm to attempt to avoid approximation.
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
g05zmf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g05zmf makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
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.
This example calls g05zmf to calculate the eigenvalues of the embedding matrix for sample points of a random field characterized by the symmetric stable variogram:
where , and and are parameters.
It should be noted that the symmetric stable variogram is one of the pre-defined variograms available in g05znf. It is used here purely for illustrative purposes.