Random number generation from an arbitrary log-concave generalized pdf

Generate random numbers from arbitrary log-concave generalized pdf, known up to a constant

Program "rand_log_concave.m" generates random numbers from an arbitrary log-concave generalized pdf (i.e., a pdf known up to its normalization constant). The log of the pdf must be concave. In particular, the program can be used to generate random numbers efficiently from truncated log-concave pdfs, such as truncated normal, beta, gamma, etc. For algorithm description and details, please see the comments given in *.m file. The tests of the program are included.