pdflib, a FORTRAN90 code 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 FORTRAN90 code which returns quantities associated with the log normal Probability Distribution Function (PDF) truncated to the interval [A,B].
PROB, a FORTRAN90 code which evaluates, samples and inverts a number of Probability Density Functions (PDF's).
RANLIB, a FORTRAN90 code 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 FORTRAN90 code which implements a random number generator (RNG) with splitting facilities, allowing multiple independent streams to be computed, by L'Ecuyer and Cote.
WALKER_SAMPLE, a FORTRAN90 code which efficiently samples a discrete probability vector using Walker sampling.