Class library ranlip for multivariate nonuniform random variate generation

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)