NAG Library Function Document

nag_quasi_init (g05ylc)

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

1:    $\mathbf{genid}$ – Nag_QuasiRandom_SequenceInput

On entry: must identify the quasi-random generator to use.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$

Sobol generator.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_SobolA659}$

Sobol (A659) generator.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Nied}$

Niederreiter generator.

$\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$

Faure generator.

Constraint: $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $\mathrm{Nag\_QuasiRandom\_SobolA659}$, $\mathrm{Nag\_QuasiRandom\_Nied}$ or $\mathrm{Nag\_QuasiRandom\_Faure}$.

2:    $\mathbf{idim}$ – IntegerInput

On entry: the number of dimensions required.

Constraints:

• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $1\le \mathbf{idim}\le 10000$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_SobolA659}$, $1\le \mathbf{idim}\le 1111$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Nied}$, $1\le \mathbf{idim}\le 318$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$, $1\le \mathbf{idim}\le 40$.

3:    $\mathbf{iref}\left[\mathbf{liref}\right]$ – IntegerCommunication Array

On exit: contains initialization information for use by the generator functions nag_quasi_rand_normal (g05yjc), nag_quasi_rand_lognormal (g05ykc) and nag_quasi_rand_uniform (g05ymc). iref must not be altered in any way between initialization and calls of the generator functions.

4:    $\mathbf{liref}$ – IntegerInput

On entry: the dimension of the array iref.

Constraints:

• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $\mathrm{Nag\_QuasiRandom\_SobolA659}$ or $\mathrm{Nag\_QuasiRandom\_Nied}$, $\mathbf{liref}\ge 32\times \mathbf{idim}+7$;
• if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$, $\mathbf{liref}\ge 407$.

5:    $\mathbf{iskip}$ – IntegerInput

On entry: the number of terms of the sequence to skip on initialization for the Sobol and Niederreiter generators. If $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Faure}$, iskip is ignored.

Constraint: if $\mathbf{genid}=\mathrm{Nag\_QuasiRandom\_Sobol}$, $\mathrm{Nag\_QuasiRandom\_SobolA659}$ or $\mathrm{Nag\_QuasiRandom\_Nied}$, $0\le \mathbf{iskip}\le 2^{30}$.

6:    $\mathbf{fail}$ – NagError *Input/Output

The NAG error argument (see Section 3.7 in How to Use the NAG Library and its Documentation).

6

Error 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.

NE_BAD_PARAM

On entry, argument $〈\mathit{\text{value}}〉$ had an illegal value.

NE_INT

On entry, $\mathbf{idim}=〈\mathit{\text{value}}〉$.
Constraint: $1\le \mathbf{idim}\le 〈\mathit{\text{value}}〉$.

On entry, $\mathbf{iskip}<0$ or iskip is too large: $\mathbf{iskip}=〈\mathit{\text{value}}〉$, maximum value is $〈\mathit{\text{value}}〉$.

On entry, liref is too small: $\mathbf{liref}=〈\mathit{\text{value}}〉$, minimum length is $〈\mathit{\text{value}}〉$.

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_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.

7

Accuracy

8

Parallelism and Performance

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Further Comments

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Example