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)摘要 本文阐述了基于接受-拒绝法从Lipschitz连续（Lipschitz-continuous）密度函数中生成非均匀随机变量的方法，以及实现该方法的类库ranlip。本文假定目标分布具有Lipschitz连续密度函数，该密度函数可通过解析形式给出，或以黑盒形式提供。该算法通过采集密度函数的大量取值，并将定义域划分为超矩形，构建出密度函数的分段常数上近似（即帽函数）。 程序名称：Ranlip 目录编号：ADVP_v1_0 问题本质 本程序基于接受-拒绝法，可从多种分布（尤其是多峰分布）中生成非均匀随机向量，适用于变量数不超过5的非标准分布。 本程序在Mendeley数据的CPC仓库中的存档版本为：ADVP_v1_0；Ranlip；10.1016/j.cpc.2005.03.105 本程序源自贝尔法斯特女王大学维护的CPC程序库（1969-2018）。