g05 Chapter Contents
g05 Chapter Introduction
NAG C Library Manual

NAG Library Function Documentnag_rngs_exp (g05ljc)

1  Purpose

nag_rngs_exp (g05ljc) generates a vector of pseudorandom numbers from a (negative) exponential distribution with mean $a$.

2  Specification

 #include #include
 void nag_rngs_exp (double a, Integer n, double x[], Integer igen, Integer iseed[], NagError *fail)

3  Description

The exponential distribution has PDF (probability density function):
 $fx=1ae-x/a if ​x>0, fx=0 otherwise.$
nag_rngs_exp (g05ljc) returns the values
 $xi=-aln⁡yi$
where ${y}_{i}$ are the next $n$ numbers generated by a uniform $\left(0,1\right)$ generator.
One of the initialization functions nag_rngs_init_repeatable (g05kbc) (for a repeatable sequence if computed sequentially) or nag_rngs_init_nonrepeatable (g05kcc) (for a non-repeatable sequence) must be called prior to the first call to nag_rngs_exp (g05ljc).

4  References

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

5  Arguments

On entry: $a$, the mean of the distribution.
Constraint: ${\mathbf{a}}>0.0$.
2:     nIntegerInput
On entry: $n$, the number of pseudorandom numbers to be generated.
Constraint: ${\mathbf{n}}\ge 0$.
3:     x[n]doubleOutput
On exit: the $n$ pseudorandom numbers from the specified exponential distribution.
4:     igenIntegerInput
On entry: must contain the identification number for the generator to be used to return a pseudorandom number and should remain unchanged following initialization by a prior call to nag_rngs_init_repeatable (g05kbc) or nag_rngs_init_nonrepeatable (g05kcc).
5:     iseed[$4$]IntegerCommunication Array
On entry: contains values which define the current state of the selected generator.
On exit: contains updated values defining the new state of the selected generator.
6:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

On entry, argument $〈\mathit{\text{value}}〉$ had an illegal value.
NE_INT
On entry, ${\mathbf{n}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{n}}\ge 0$.
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.
NE_REAL
On entry, ${\mathbf{a}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{a}}>0.0$.

Not applicable.

None.

9  Example

This example prints five pseudorandom numbers from an exponential distribution with mean $1.0$, generated by a single call to nag_rngs_exp (g05ljc), after initialization by nag_rngs_init_repeatable (g05kbc).

9.1  Program Text

Program Text (g05ljce.c)

None.

9.3  Program Results

Program Results (g05ljce.r)