RanLip Matlab toolbox

Generates random vectors with arbitrary Lipschitz densities in 1-5 variables

Description

RanLip uses acceptance/rejection approach to generate random vectors, which is based on approximation of the probability density function from above with a "hat" function. It is assumed that the distribution has
Lipschitz-continuous density, which is either given analytically or has a black box. 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.

• MATLAB release: MATLAB 7 (R14)
• Other requirements: Windows