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RANDLIB

Library of Routines for Random Number Generation

Description

The bottom level 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, there is a single generator with period 2.3 x 10^18.

Using this base, routines are provided that return random deviates from the following distributions:

  • Beta
  • Chi-square
  • Exponential
  • Gamma
  • Multivariate normal
  • Non-central chi-squared
  • Non-central F
  • Univariate normal
  • Random permutations
  • Real uniform
  • Binomial
  • Negative Binomial
  • Multinomial
  • Poisson
  • Integer uniform

Also includes a translation of RANDLIB into Fortran 95 providing improved packaging. Function and speed should be the same as the original.

RANDLIB also served as the basis for the Perl module Math::Random.

People interested in RANDLIB may also be interested in our Adaptive Randomization software.

Contact: Barry W. Brown

Software developers: John Venier, Dan Serachitopol

Language: Fortran 77, Fortran 95, C