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Linux temps réel embarqué et outils de développements
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Technique |
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libranlip1c2
libranlip1c2 | generates random variates with multivariate Lipschitz density | Priority | |
Section | libs |
Installed size | 172 |
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/libranlip1c2_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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