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A simple and handy PDF (Probability Distribution Function) re-constructor and sampler.



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PDFsampler is a MATLAB class that serves as a random number generator for custom probability distribution functions and is particularly useful for Monte Carlo simulations. Objects of this class are initialized using samples of your custom distribution of using histogram data of your PDF. It is well documented and pretty straight forward to use.

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Minh Cao

Hi Pantelis,
Could you please tell me the name of the reconstruction method you are using? Perhaps a link to some research paper that references it?

@JonathanMayers: PDFSampler works with discrete distributions. You can pass the outputs of `hist` to its constructor.

Example #1:
random_numbers = [ ... ]; % some array
[v, p] = hist(random_numbers, 50);
sampler = PDFSampler(v, p);

#Example #2:
% In case you have an array of data
% You can pass it directly to the constructor:

In any case, you sample from the PDF using `sampler.nextRandom`

Thanks for this. I am not sure how to use the class for a custom pdf. Could you please provide an example of this?

An example of use can be found at

MATLAB Release
MATLAB 8.0 (R2012b)

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