Linux temps réel embarqué et outils de développements Technique


libranlip-dev generates random variates with multivariate Lipschitz density
Installed size 84
Maintainer Juan Esteban Monsalve Tobon <esteban@v7w.com>
Architecture i386
Version 1.0-4
Depends libc6 (>= 2.3.6-6), libgcc1 (>= 1
Suggests libqwt-dev
File name pool/main/libr/libranlip/libranlip-dev_1.0-4_i386.deb
Description RanLip generates random variates with an arbitrary multivariate Lipschitz density. . While generation of random numbers from a variety of distributions is implemented in many packages (like GSL library http://www.gnu.org/software/gsl/ and UNURAN library http://statistik.wu-wien.ac.at/unuran/), generation of random variate with an arbitrary distribution, especially in the multivariate case, is a very challenging task. RanLip is a method of generation of random variates with arbitrary Lipschitz-continuous densities, which works in the univariate and multivariate cases, if the dimension is not very large (say 3-10 variables). . Lipschitz condition implies that the rate of change of the function (in this case, probability density p(x)) is bounded: . |p(x)-p(y)|=p(x), using a number of values of p(x) at some points. The more values we use, the better is the hat function. The method of acceptance/rejection then works as follows: generatea random variate X with density h(x); generate an independent uniform on (0,1) random number Z; if p(X)<=Z h(X), then return X, otherwise repeat all the above steps. . RanLip constructs a piecewise constant hat function of the required density p(x) by subdividing the domain of p (an n-dimensional rectangle) into many smaller rectangles, and computes the upper bound on p(x) within each of these rectangles, and uses this upper bound as the value of the hat function. . Homepage: http://www.deakin.edu.au/~gleb/ranlip.html

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