NAG Library Function Document

1Purpose

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 ${a}_{i}$ and weight ${w}_{i}$.

2Specification

 #include #include
 void nag_rand_exp_mix (Integer n, Integer nmix, const double a[], const double wgt[], Integer state[], double x[], NagError *fail)

3Description

The distribution has PDF (probability density function)
 $fx = ∑i=1m 1ai wi e-x/ai if ​x≥0, fx = 0 otherwise,$
where $\sum _{i=1}^{m}{w}_{i}=1$ and ${a}_{i}>0$, ${w}_{i}\ge 0$.
nag_rand_exp_mix (g05sgc) returns the values ${x}_{i}$ by selecting, with probability ${w}_{j}$, random variates from an exponential distribution with argument ${a}_{j}$.
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).

4References

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

5Arguments

1:    $\mathbf{n}$IntegerInput
On entry: $n$, the number of pseudorandom numbers to be generated.
Constraint: ${\mathbf{n}}\ge 0$.
2:    $\mathbf{nmix}$IntegerInput
On entry: $m$, the number of exponential distributions in the mix.
Constraint: ${\mathbf{nmix}}\ge 1$.
3:    $\mathbf{a}\left[{\mathbf{nmix}}\right]$const doubleInput
On entry: the $m$ parameters ${a}_{i}$ for the $m$ exponential distributions in the mix.
Constraint: ${\mathbf{a}}\left[\mathit{i}-1\right]>0.0$, for $\mathit{i}=1,2,\dots ,{\mathbf{nmix}}$.
4:    $\mathbf{wgt}\left[{\mathbf{nmix}}\right]$const doubleInput
On entry: the $m$ weights ${w}_{i}$ for the $m$ exponential distributions in the mix.
Constraints:
• $\sum _{\mathit{i}=1}^{m}{\mathbf{wgt}}\left[\mathit{i}-1\right]=1.0$;
• ${\mathbf{wgt}}\left[\mathit{i}-1\right]\ge 0.0$, for $\mathit{i}=1,2,\dots ,m$.
5:    $\mathbf{state}\left[\mathit{dim}\right]$IntegerCommunication Array
Note: the dimension, $\mathit{dim}$, 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:    $\mathbf{x}\left[{\mathbf{n}}\right]$doubleOutput
On exit: the $n$ pseudorandom numbers from the specified exponential mix distribution.
7:    $\mathbf{fail}$NagError *Input/Output
The NAG error argument (see Section 3.7 in How to Use the NAG Library and its Documentation).

6Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
See Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
On entry, argument $〈\mathit{\text{value}}〉$ had an illegal value.
NE_INT
On entry, ${\mathbf{n}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{n}}\ge 0$.
On entry, ${\mathbf{nmix}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{nmix}}\ge 1$.
NE_INTERNAL_ERROR
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.
See Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
NE_INVALID_STATE
On entry, state vector has been corrupted or not initialized.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
NE_REAL_ARRAY
On entry, ${\mathbf{a}}\left[〈\mathit{\text{value}}〉\right]=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{a}}\left[i-1\right]>0.0$.
On entry, sum of ${\mathbf{wgt}}=〈\mathit{\text{value}}〉$.
Constraint: sum of ${\mathbf{wgt}}=1.0$.
On entry, ${\mathbf{wgt}}\left[〈\mathit{\text{value}}〉\right]=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{wgt}}\left[i-1\right]\ge 0.0$.

Not applicable.

8Parallelism 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.

None.

10Example

This example prints the first five pseudorandom numbers from an exponential mix distribution comprising three exponential distributions with parameters ${a}_{1}=1.0$, ${a}_{2}=5.0$ and ${a}_{3}=2.0$, 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).

10.1Program Text

Program Text (g05sgce.c)

None.

10.3Program Results

Program Results (g05sgce.r)

© The Numerical Algorithms Group Ltd, Oxford, UK. 2017