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Libranlip

May 26, 2018

Random variate generator for Lipschitz-continuous densities

libranlip is a C++ library created by G. Beliakov, which generates random variates with arbitrary Lipschitz-continuous densities via the acceptance / rejection method. The density should have a dimension of no more than about five. The user needs to supply the density function using a simple syntax, and then call the methods of construction and generation provided in libranlip.

WWW http//www.deakin.edu.au/~gleb/ranlip.html