G05ZMF (PDF version)
G05 Chapter Contents
G05 Chapter Introduction
NAG Library Manual

NAG Library Routine Document


Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

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.

2  Specification


3  Description

A one-dimensional random field Zx in  is a function which is random at every point x, so Zx is a random variable for each x. The random field has a mean function μx=𝔼Zx and a symmetric positive semidefinite covariance function Cx,y=𝔼Zx-μxZy-μy. Zx is a Gaussian random field if for any choice of n and x1,,xn, the random vector Zx1,,ZxnT follows a multivariate Gaussian distribution, which would have a mean vector μ~ with entries μ~i=μxi and a covariance matrix C~ with entries C~ij=Cxi,xj. A Gaussian random field Zx is stationary if μx is constant for all x and Cx,y=Cx+a,y+a for all x,y,a and hence we can express the covariance function Cx,y as a function γ of one variable: Cx,y=γx-y. γ is known as a variogram (or more correctly, a semivariogram) and includes the multiplicative factor σ2 representing the variance such that γ0=σ2.
The routines G05ZMF and G05ZPF are used to simulate a one-dimensional stationary Gaussian random field, with mean function zero and variogram γx, over an interval xmin,xmax, using an equally spaced set of N gridpoints. The problem reduces to sampling a Gaussian random vector X of size N, with mean vector zero and a symmetric Toeplitz covariance matrix A. Since A is in general expensive to factorize, a technique known as the circulant embedding method is used. A is embedded into a larger, symmetric circulant matrix B of size M2N-1, which can now be factorized as B=WΛW*=R*R, where W is the Fourier matrix (W* is the complex conjugate of W), Λ is the diagonal matrix containing the eigenvalues of B and R=Λ12W*. B is known as the embedding matrix. The eigenvalues can be calculated by performing a discrete Fourier transform of the first row (or column) of B and multiplying by M, and so only the first row (or column) of B is needed – the whole matrix does not need to be formed.
As long as all of the values of Λ are non-negative (i.e., B is positive semidefinite), B is a covariance matrix for a random vector Y, two samples of which can now be simulated from the real and imaginary parts of R*U+iV, where U and V have elements from the standard Normal distribution. Since R*U+iV=WΛ12U+iV, this calculation can be done using a discrete Fourier transform of the vector Λ12U+iV. Two samples of the random vector X can now be recovered by taking the first N elements of each sample of Y – because the original covariance matrix A is embedded in B, X will have the correct distribution.
If B is not positive semidefinite, larger embedding matrices B can be tried; however if the size of the matrix would have to be larger than MAXM, an approximation procedure is used. We write Λ=Λ++Λ-, where Λ+ and Λ- contain the non-negative and negative eigenvalues of B respectively. Then B is replaced by ρB+ where B+=WΛ+W* and ρ0,1 is a scaling factor. The error ε in approximating the distribution of the random field is given by
ε= 1-ρ 2 traceΛ + ρ2 traceΛ- M .
Three choices for ρ are available, and are determined by the input parameter ICORR:
G05ZMF finds a suitable positive semidefinite embedding matrix B 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 B is actually formed and stored.

4  References

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 0,1d Journal of Computational and Graphical Statistics 3(4) 409–432

5  Parameters

1:     NS – INTEGERInput
On entry: the number of sample points (points) to be generated in realisations of the random field.
Constraint: NS1.
2:     XMIN – REAL (KIND=nag_wp)Input
On entry: the lower bound for the interval over which the random field is to be simulated.
Constraint: XMIN<XMAX.
3:     XMAX – REAL (KIND=nag_wp)Input
On entry: the upper bound for the interval over which the random field is to be simulated.
Constraint: XMIN<XMAX.
4:     MAXM – 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 MAXM = 2k+2  where k = 1+ log2 NS-1 .
Constraint: MAXM 2 k , where k is the smallest integer satisfying 2 k 2 NS-1  .
5:     VAR – REAL (KIND=nag_wp)Input
On entry: the multiplicative factor σ2 of the variogram γx.
Constraint: VAR0.0.
6:     COV1 – SUBROUTINE, supplied by the user.External Procedure
COV1 must evaluate the variogram γx, without the multiplicative factor σ2, for all x0. The value returned in GAMMA is multiplied internally by VAR.
The specification of COV1 is:
REAL (KIND=nag_wp)  X, GAMMA, RUSER(*)
1:     X – REAL (KIND=nag_wp)Input
On entry: the value x at which the variogram γx is to be evaluated.
2:     GAMMA – REAL (KIND=nag_wp)Output
On exit: the value of the variogram γx σ2 .
3:     IUSER(*) – INTEGER arrayUser Workspace
4:     RUSER(*) – REAL (KIND=nag_wp) arrayUser Workspace
COV1 is called with the parameters IUSER and RUSER as supplied to G05ZMF. You are free to use the arrays IUSER and RUSER to supply information to COV1 as an alternative to using COMMON global variables.
COV1 must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which G05ZMF is called. Parameters denoted as Input must not be changed by this procedure.
7:     PAD – 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.
Suggested value: PAD=1. 
Constraint: PAD=0 or 1.
8:     ICORR – INTEGERInput
On entry: determines which approximation to implement if required, as described in Section 3.
Suggested value: ICORR=0.
Constraint: ICORR=0, 1 or 2.
9:     LAM(MAXM) – REAL (KIND=nag_wp) arrayOutput
On exit: contains the square roots of the eigenvalues of the embedding matrix.
10:   XX(NS) – REAL (KIND=nag_wp) arrayOutput
On exit: the points at which values of the random field will be output.
11:   M – INTEGEROutput
On exit: the size of the embedding matrix.
12:   APPROX – INTEGEROutput
On exit: indicates whether approximation was used.
No approximation was used.
Approximation was used.
13:   RHO – REAL (KIND=nag_wp)Output
On exit: indicates the scaling of the covariance matrix. RHO=1 unless approximation was used with ICORR=0 or 1.
14:   ICOUNT – INTEGEROutput
On exit: indicates the number of negative eigenvalues in the embedding matrix which have had to be set to zero.
15:   EIG(3) – 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. EIG1 contains the smallest eigenvalue, EIG2 contains the sum of the squares of the negative eigenvalues, and EIG3 contains the sum of the absolute values of the negative eigenvalues.
16:   IUSER(*) – INTEGER arrayUser Workspace
17:   RUSER(*) – 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 as an alternative to using COMMON global variables.
18:   IFAIL – INTEGERInput/Output
On entry: IFAIL must be set to 0, -1​ or ​1. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value -1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 1 is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is 0. When the value -1​ or ​1 is used it is essential to test the value of IFAIL on exit.
On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6  Error Indicators and Warnings

If on entry 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:
On entry, NS=value.
Constraint: NS1.
On entry, XMIN=value and XMAX=value.
Constraint: XMIN<XMAX.
On entry, MAXM=value.
Constraint: the calculated minimum value for MAXM is value.
Where the minimum calculated value is given by 2 k , where k is the smallest integer satisfying 2 k 2 NS-1 .
On entry, VAR=value.
Constraint: VAR0.0.
On entry, PAD=value.
Constraint: PAD=0 or 1.
On entry, ICORR=value.
Constraint: ICORR=0, 1 or 2.

7  Accuracy

Not applicable.

8  Further Comments


9  Example

This example calls G05ZMF to calculate the eigenvalues of the embedding matrix for 8 sample points of a random field characterized by the symmetric stable variogram:
γx = σ2 exp - x ν ,
where x=x, and  and ν 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.

9.1  Program Text

Program Text (g05zmfe.f90)

9.2  Program Data

Program Data (g05zmfe.d)

9.3  Program Results

Program Results (g05zmfe.r)

G05ZMF (PDF version)
G05 Chapter Contents
G05 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012