libranlip-dev 1.0-4 (ia64 binary) in ubuntu edgy
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://
http://
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-
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)-
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From this condition, we can build an overestimate of the density, so
called hat function h(x)>=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/
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.
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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://
Details
- Package version:
- 1.0-4
- Status:
- Obsolete
- Component:
- universe
- Priority:
- Optional
Downloadable files
- libranlip-dev_1.0-4_ia64.deb (21.5 KiB)