ranlib, a FORTRAN90 code which produces random samples from Probability Density Functions (PDF), 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.
The code relies on streams of uniform random numbers generated by a lower level package called RNGLIB. A copy of RNGLIB must be available in order for RANLIB to executed. The RNGLIB routines provide 32 virtual random number generators. Each generator can provide 1,048,576 blocks of numbers, and each block is of length 1,073,741,824. Any generator can be set to the beginning or end of the current block or to its starting value. Packaging is provided so that if these capabilities are not needed, a single generator with period 2.3 X 10^18 is seen.
The routines, and the probability density functions they sample, include:
The computer code and data files described and made available on this web page are distributed under the MIT license
ranlib is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.
asa183, a FORTRAN90 code which implements a random number generator (RNG), by Wichman and Hill. This is a version of Applied Statistics Algorithm 183.
faure, a FORTRAN90 code which computes elements of a Faure quasirandom sequence.
HALTON, a FORTRAN90 code which computes elements of a Halton quasirandom sequence.
HAMMERSLEY, a FORTRAN90 code which computes elements of a Hammersley quasirandom sequence.
NIEDERREITER2, a FORTRAN90 code which computes elements of a Niederreiter quasirandom sequence with base 2.
NORMAL, a FORTRAN90 code which computes elements of a sequence of pseudorandom normally distributed values.
PROB, a FORTRAN90 code which evaluates, samples and inverts a number of Probability Density Functions (PDF's).
RANDLC, a FORTRAN90 code which implements a random number generator (RNG) used by the NAS Benchmark programs.
RANDOM_SORTED, a FORTRAN90 code which generates vectors of random values which are already sorted.
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.
SOBOL, a FORTRAN90 code which computes elements of a Sobol quasirandom sequence.
UNIFORM, a FORTRAN90 code which computes elements of a pseudorandom uniform sequence.
VAN_DER_CORPUT, a FORTRAN90 code which computes elements of a van der Corput quasirandom sequence.
Original FORTRAN77 version by Barry Brown, James Lovato. FORTRAN90 version by John Burkardt.