G05ZSF (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

G05ZSF produces realisations of a stationary Gaussian random field in two dimensions, using the circulant embedding method. The square roots of the eigenvalues of the extended covariance matrix (or embedding matrix) need to be input, and can be calculated using G05ZQF or G05ZRF.

2  Specification

REAL (KIND=nag_wp)  LAM(M(1)*M(2)), RHO, Z(NS(1)*NS(2),S)

3  Description

A two-dimensional random field Zx in 2 is a function which is random at every point x2, 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,,xn2, 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 x2 and Cx,y=Cx+a,y+a for all x,y,a2 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 or G05ZNF along with G05ZPF are used to simulate a two-dimensional stationary Gaussian random field, with mean function zero and variogram γx, over a domain xmin,xmax×ymin,ymax, using an equally spaced set of N1×N2 gridpoints; N1 gridpoints in the x-direction and N2 gridpoints in the y-direction. The problem reduces to sampling a Gaussian random vector X of size N1×N2, with mean vector zero and a symmetric covariance matrix A, which is an N2 by N2 block Toeplitz matrix with Toeplitz blocks of size N1 by N1. 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 matrix B, which is an M2 by M2 block circulant matrix with circulant bocks of size M1 by M1, where M12N1-1 and M22N2-1. B can now be factorized as B=WΛW*=R*R, where W is the two-dimensional 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 M1×M2, and so only the first row (or column) of B is needed – the whole matrix does not need to be formed.
The symmetry of A as a block matrix, and the symmetry of each block of A, depends on whether the covariance function γ is even or not. γ is even if γx=γ-x for all x2, and uneven otherwise (in higher dimensions, γ can be even in some coordinates and uneven in others, but in two dimensions γ is either even in both coordinates or uneven in both coordinates). If γ is even then A is a symmetric block matrix and has symmetric blocks; if γ is uneven then A is not a symmetric block matrix and has non-symmetric blocks. In the uneven case, M1 and M2 are set to be odd in order to guarantee symmetry in B.
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 which has M2 ‘blocks’ of size M1. Two samples of Y 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 N1 elements of the first N2 blocks 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. See the documentation of G05ZQF or G05ZRF for details of the approximation procedure.
G05ZSF takes the square roots of the eigenvalues of the embedding matrix B, and its size vector M, as input and outputs S realisations of the random field in Z.
One of the initialization routines G05KFF (for a repeatable sequence if computed sequentially) or G05KGF (for a non-repeatable sequence) must be called prior to the first call to G05ZSF.

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(2) – INTEGER arrayInput
On entry: the number of sample points (gridpoints) to use in each direction, with NS1 sample points in the x-direction and NS2 sample points in the y-direction. The total number of sample points on the grid is therefore NS1 × NS1 . This must be the same value as supplied to G05ZQF or G05ZRF when calculating the eigenvalues of the embedding matrix.
  • NS11;
  • NS21.
2:     S – INTEGERInput
On entry: the number of realisations of the random field to simulate.
Constraint: S1.
3:     M(2) – INTEGER arrayInput
On entry: indicates the size of the embedding matrix as returned by G05ZQF or G05ZRF. The embedding matrix is a block circulant matrix with circulant blocks. M1 is the size of each block, and M2 is the number of blocks.
  • M1max1,2NS1-1;
  • M2max1,2NS2-1.
4:     LAM(M1×M2) – REAL (KIND=nag_wp) arrayInput
On entry: contains the square roots of the eigenvalues of the embedding matrix, as returned by G05ZQF or G05ZRF.
Constraint: LAMi=0, i=1,2,,M1×M2.
5:     RHO – REAL (KIND=nag_wp)Input
On entry: indicates the scaling of the covariance matrix, as returned by G05ZQF or G05ZRF.
Constraint: 0.0<RHO1.0.
6:     STATE(*) – INTEGER arrayCommunication Array
Note: the actual argument supplied must be the array STATE supplied to the initialization routines G05KFF or G05KGF.
On entry: contains information on the selected base generator and its current state.
On exit: contains updated information on the state of the generator.
7:     Z(NS1×NS2,S) – REAL (KIND=nag_wp) arrayOutput
On exit: contains the realisations of the random field. Each column of Z contains one realisation of the random field, with Zi+j-1NS1k, for k=1,2,,S, corresponding to the gridpoint XXi and YYj as returned by G05ZQF or G05ZRF.
8:     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,value.
Constraint: NS11, NS21.
On entry, S=value.
Constraint: S1.
On entry, M=value,value, and NS=value,value.
Constraints: Mimax1,2NSi-1, for i=1,2.
On entry, at least one element of LAM was negative.
Constraint: all elements of LAM must be non-negative.
On entry, RHO=value.
Constraint: 0.0<RHO1.0.
On entry, STATE vector has been corrupted or not initialized.

7  Accuracy

Not applicable.

8  Further Comments

Because samples are generated in pairs, calling this routine k times, with S=s, say, will generate a different sequence of numbers than calling the routine once with S=ks, unless s is even.

9  Example

This example calls G05ZSF to generate 5 realisations of a two-dimensional random field on a 5 by 5 grid. This uses eigenvalues of the embedding covariance matrix for a symmetric stable variogram as calculated by G05ZRF with ICOV2=1.

9.1  Program Text

Program Text (g05zsfe.f90)

9.2  Program Data

Program Data (g05zsfe.d)

9.3  Program Results

Program Results (g05zsfe.r)

G05ZSF (PDF version)
G05 Chapter Contents
G05 Chapter Introduction
NAG Library Manual

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