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Laplacian random number generator

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18 Jan 2007 (Updated )

Generate i.i.d. random number drawn from laplacian distribution with specified parameter

laprnd(m, n, mu, sigma)
function y  = laprnd(m, n, mu, sigma)
%LAPRND generate i.i.d. laplacian random number drawn from laplacian distribution
%   with mean mu and standard deviation sigma. 
%   mu      : mean
%   sigma   : standard deviation
%   [m, n]  : the dimension of y.
%   Default mu = 0, sigma = 1. 
%   For more information, refer to
%   http://en.wikipedia.org./wiki/Laplace_distribution

%   Author  : Elvis Chen (bee33@sjtu.edu.cn)
%   Date    : 01/19/07

%Check inputs
if nargin < 2
    error('At least two inputs are required');
end

if nargin == 2
    mu = 0; sigma = 1;
end

if nargin == 3
    sigma = 1;
end

% Generate Laplacian noise
u = rand(m, n)-0.5;
b = sigma / sqrt(2);
y = mu - b * sign(u).* log(1- 2* abs(u));

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