Gaussian Random Routines

JohnNichols — Thu, 26 May 2016 16:37:26 GMT
Some of the routines called in this sample are not in the documentation that I can find, CHECKVSLERROR as an example. Any ideas where I find details.  

John
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!  Content:
!    vdRngGaussianMV  Example Program Text
!*******************************************************************************

      include 'mkl_vsl.f90'
      include "errcheck.inc"
      include "statcheck.inc"

      program MKL_VSL_TEST

      USE MKL_VSL_TYPE
      USE MKL_VSL

      integer(kind=4) i
      integer(kind=4) errcode

      integer(kind=4) nn
      integer ndim,info
      integer n

      parameter(n=1000,nn=1000,ndim=3)

      integer brng,method,seed
      integer me

      real(kind=8) c(ndim,ndim),t(ndim,ndim),a(ndim)
      real(kind=8) r(ndim,n)
      real(kind=8) dbS(ndim),dbS2(ndim),dbMean(ndim),dbVar(ndim)
      real(kind=8) dbCovXY,dbCovXZ,dbCovYZ

      real(kind=8) S(ndim),D2(ndim),Q(ndim)
      real(kind=8) DeltaM(ndim),DeltaD(ndim)

      TYPE (VSL_STREAM_STATE) :: stream

      brng=VSL_BRNG_MCG31
      seed=7777777
      method=VSL_RNG_METHOD_GAUSSIANMV_BOXMULLER2
      me=VSL_MATRIX_STORAGE_FULL

!     Variance-covariance matrix for test
!     (should be symmetric,positive-definite)

!     This is full storage for dpotrf subroutine
      c(1,1)=16.0D0
      c(1,2)=8.0D0
      c(1,3)=4.0D0

      c(2,1)=8.0D0
      c(2,2)=13.0D0
      c(2,3)=17.0D0

      c(3,1)=4.0D0
      c(3,2)=17.0D0
      c(3,3)=62.0D0

      a(1)=3.0D0
      a(2)=5.0D0
      a(3)=2.0D0

      t  = c

      print *,'Variance-covariance matrix C'
      write (*,'(3F7.3)') c
      print *,''

      print *,'Mean vector a:'
      write (*,'(3F7.3)') a
      print *,''

      print *,'VSL_MATRIX_STORAGE_FULL'
      print *,'-----------------------'
      print *,''

      call dpotrf('U',ndim,t,ndim,info)

!     Stream initialization
      errcode=vslnewstream(stream,brng,seed)
      call CheckVslError(errcode)

!     Generating random numbers
!     from multivariate normal distribution
      errcode=vdrnggaussianmv(method,stream,n,r,ndim,me,a,t)
      call CheckVslError(errcode)

!     Printing random numbers
      print 11,' Results (first ',nn,' of ',n,')'
      print *,'--------------------------'
11    format(A,I5,A,I5,A)

      do i=1,nn
        print 12,' r(',i,')=(',r(:,i),')'
      end do
12    format(A,I5,A,3F8.3,A)
      print *,''

      call dCalculateGaussianMVSampleCharacteristics(ndim, n, r,        &
     &      dbS, dbS2, dbMean, dbVar, dbCovXY, dbCovXZ, dbCovYZ)

!     Printing
      print *,'Sample characteristics:'
      print *,'-----------------------'
      print *,'      Sample             Theory'
      print 13,' Mean :(',dbMean(1),dbMean(2),dbMean(3),                &
     &         ')  (',a(1),a(2),a(3),')'
      print 13,' Var. :(',dbVar(1),dbVar(2),dbVar(3),                   &
     &         ')  (',c(1,1),c(2,2),c(3,3),')'
      print 14,' CovXY: ',dbCovXY,'          ',c(1,2)
      print 14,' CovXZ: ',dbCovXZ,'          ',c(1,3)
      print 14,' CovYZ: ',dbCovYZ,'          ',c(2,3)
13    format(A,F5.1,F5.1,F5.1,A,F5.1,F5.1,F5.1,A)
14    format(A,F6.1,A,F6.1)
      print *,''

      errcode=dGaussianMVCheckResults(ndim, n, a, c, dbMean, dbVar, S,  &
     &      D2, Q, DeltaM, DeltaD)

      if (errcode /= 0) then
        print *,"Error: sample moments"
        print *,"disagree with theory"
        print 15, "    DeltaM: ", DeltaM(1), DeltaM(2), DeltaM(3)
        print 15, "    DeltaD: ", DeltaD(1), DeltaD(2), DeltaD(3)
        print *,  "   ( at least one of the Deltas > 3.0) "
        stop 1
      else
        print *,"Sample moments"
        print *,"agree with theory"
        print 15, "    DeltaM: ", DeltaM(1), DeltaM(2), DeltaM(3)
        print 15, "    DeltaD: ", DeltaD(1), DeltaD(2), DeltaD(3)
        print *,  "   ( all Deltas < 3.0) "
      end if
15    format(A,F7.3,F7.3,F7.3)
      print *,''

!     Stream finalization
      errcode=vslDeleteStream(stream)
      call CheckVslError(errcode)

      end
Hi John,

Andrey_N_Intel — Fri, 27 May 2016 06:58:36 GMT
Hi John,
the routine you mention is not part of Intel MKL RNG API but a service routine defined in the errcheck.inc available in the directory with examples. It prints the message in case any of the generator routines used in the example returns error code
Andrey
topic Hi John, in Intel® oneAPI Math Kernel Library

Gaussian Random Routines

Hi John,
