Random number generation from an arbitrary log-concave generalized pdf

Versione 1.0.0.0 (7,77 KB) da Leonid
Generate random numbers from arbitrary log-concave generalized pdf, known up to a constant
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Aggiornato 23 ott 2007

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Program "rand_log_concave.m" generates random numbers from an arbitrary log-concave generalized pdf (i.e., a pdf known up to its normalization constant). The log of the pdf must be concave. In particular, the program can be used to generate random numbers efficiently from truncated log-concave pdfs, such as truncated normal, beta, gamma, etc. For algorithm description and details, please see the comments given in *.m file. The tests of the program are included.

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Leonid (2025). Random number generation from an arbitrary log-concave generalized pdf (https://it.mathworks.com/matlabcentral/fileexchange/15610-random-number-generation-from-an-arbitrary-log-concave-generalized-pdf), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0

A simple but important improvement to the main code "rand_log_concave.m", which allows to avoid many potentially costly calculations of the log-likelihood during the rejection sampling of random numbers.