Programs in Physics & Physical Chemistry
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Programs in Physics & Physical Chemistry |
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| PROGRAM SUMMARY | ||
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| Manuscript Title: Class library ranlip for multivariate nonuniform random variate generation. | ||
| Authors: Gleb Beliakov | ||
| Program title: Ranlip | ||
| Catalogue identifier: ADVP | ||
| 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. | ||
Restrictions: 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 |
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