May 26, 2018

Universal Non-Uniform RANdom number generators

UNU.RAN Universal Non-Uniform RAndom Number generator is a collection of algorithms for generating non-uniform pseudorandom variates as a library of C functions designed and implemented by the ARVAG Automatic Random VAriate Generation project group in Vienna, and released under the GNU Public License GPL. It is especially designed for situations where

  • a non-standard distribution or a truncated distribution is needed;
  • experiments with different types of distributions are made;
  • random variates for variance reduction techniques are used; or
  • fast generators of predictable quality are necessary.

UNU.RAN provides generators that are superior in many aspects to those found in quite a number of other libraries; however, due to its more sophisticated programming interface, it might not be as easy to use.

It uses an object-oriented interface in which distributions and generators are treated as independent objects, so that different methods for generating non-uniform random variates may be chosen according to various criteria, such as speed, quality, and variance reduction. It is flexible enough to permit sampling from non-standard distributions, such as distributions that arise in a model and can only be computed in complicated subroutines.

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