PDFLIB, a C++ library which evaluates Probability Density Functions (PDF's) and produces random samples from them, including beta, binomial, chi, exponential, gamma, inverse chi, inverse gamma, multinomial, normal, scaled inverse chi, and uniform.
The computer code and data files made available on this web page are distributed under the GNU LGPL license.
PDFLIB is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.
LOG_NORMAL_TRUNCATED_AB, a C++ library which returns quantities associated with the log normal Probability Distribution Function (PDF) truncated to the interval [A,B].
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.