Class library ranlip for multivariate nonuniform random variate generation

Published: 15-07-2005| Version 1 | DOI: 10.17632/2ygysdsfgx.1
Gleb Beliakov


Abstract This paper describes generation of nonuniform random variates from Lipschitz-continuous densities using acceptance/rejection, and the class library ranlip which implements this method. It is assumed that the required distribution has Lipschitz-continuous density, which is either given analytically or as a black box. The algorithm builds a piecewise constant upper approximation to the density (the hat function), using a large number of its values and subdivision of the domain into hyperrectang... Title of program: Ranlip Catalogue Id: ADVP_v1_0 Nature of problem This program allows one to generate nonuniform random vectors from a variety of distributions (especially multimodal), using acceptance/rejection approach. Suitable for non-standard distributions for up to five variables. Versions of this program held in the CPC repository in Mendeley Data ADVP_v1_0; Ranlip; 10.1016/j.cpc.2005.03.105 This program has been imported from the CPC Program Library held at Queen's University Belfast (1969-2018)