RanLip - black-box non-uniform random variate generator - Maple Application Center
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RanLip - black-box non-uniform random variate generator

Author
: Dr. Gleb Beliakov
Engineering software solutions from Maplesoft
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RanLip is a toolbox for generation of nonuniform random variates from arbitrary Lipschitz-continuous distributions in Maple environment. It uses acceptance/ rejection approach, which is based on approximation of the probability density function from above with a "hat" function. RanLip provides very fast preprocessing and generation times, and yields small rejection constant. It exhibits good performance for up to five variables, and provides the user with a black box nonuniform random variate generator for a large class of distributions, in particular, multimodal distributions.

Application Details

Publish Date: December 13, 2006
Created In: Maple 10
Language: English

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