UNU.RAN - 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 such 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. fast generators of predictable quality are necessary.
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References in zbMATH (referenced in 6 articles )
Showing results 1 to 6 of 6.
- Sak, Halis; Başoğlu, İsmail: Efficient randomized quasi-Monte Carlo methods for portfolio market risk (2017)
- Dingeç, Kemal Dinçer; Hörmann, Wolfgang: A general control variate method for option pricing under Lévy processes (2012)
- Leydold, Josef; Hörmann, Wolfgang: Generating generalized inverse Gaussian random variates by fast inversion (2011)
- Derflinger, Gerhard; Hörmann, Wolfgang; Leydold, Josef: Random variate generation by numerical inversion when only the density is known (2010)
- Tirler, Günter; Dalgaard, Peter; Hörmann, Wolfgang; Leydold, Josef: An error in the Kinderman-Ramage method and how to fix it (2004)
- Leydold, Josef; Derflinger, Gerhard; Tirler, Günter; Hörmann, Wolfgang: An automatic code generator for nonuniform random variate generation (2003)