RANDOM_SORTED is a C++ library which generates vectors of random values which are already sorted.
Since the computation of the spacing between the values requires some additional arithmetic, it is not immediately obvious when this procedure will be faster than simply generating a vector of random values and then sorting it.
Because the library can generate a sorted random vector of values between 0 and 1, it is possible to generate sorted data samples from any distribution for which the inverse Cumulative Density Function (CDF) is known. For instance, to generate sorted normal data, simply generate sorted uniform data, and then apply the inverse of the normal CDF, as in the example code listed below.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
RANDOM_SORTED is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.
ASA183, a C++ library which implements the Wichman-Hill random number generator (RNG).
NORMAL, a C++ library which computes a sequence of pseudorandom normally distributed values.
RANDLC, a C++ library which generates a sequence of pseudorandom numbers, used by the NAS Benchmark programs.
RANLIB, a C++ library which produces random samples from Probability Density Functions (PDF's), including Beta, Chi-square Exponential, F, Gamma, Multivariate normal, Noncentral chi-square, Noncentral F, Univariate normal, random permutations, Real uniform, Binomial, Negative Binomial, Multinomial, Poisson and Integer uniform, by Barry Brown and James Lovato.
RNGLIB, a C++ library which implements a random number generator (RNG) with splitting facilities, allowing multiple independent streams to be computed, by L'Ecuyer and Cote.
UNIFORM, a C++ library which computes a sequence of uniformly distributed pseudorandom values.
VAN_DER_CORPUT, a C++ library which computes elements of a 1D van der Corput Quasi Monte Carlo (QMC) sequence using a simple interface.
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