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[Licence| Download | New Version Template] advp_v1_0.tar.gz(383 Kbytes)
Manuscript Title: Class library ranlip for multivariate nonuniform random variate generation.
Authors: Gleb Beliakov
Program title: Ranlip
Catalogue identifier: ADVP_v1_0
Distribution format: tar.gz
Journal reference: Comput. Phys. Commun. 170(2005)93
Programming language: C++.
Computer: IBM PC, DEC Alpha.
Operating system: Windows XP, Linux, Unix.
RAM: 32M
Word size: 32
Keywords: Nonuniform random variate generation, Acceptance/rejection, Multimodal distributions, Simulation.
PACS: 02.50.-r.
Classification: 4.13.

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.

Solution method:
Assuming Lipschitz continuous density, a tight overestimate (the hat function) is computed. Then random variates are generated using acceptance/rejection approach.

If the number of variables exceeds five, computation of the overestimate is inefficient.

Running time:
Preprocessing 1-5000 s, generation 5-20 x 10-6s