🚀 go-pugleaf

In article <2181@enuxha.eas.asu.edu> chua@enuxha.eas.asu.edu (M. Chua) writes:
>
>Hi, all netters.  Please advise if there are any subroutine programs that
>can be used to generate multivariate normal random numbers.  I am
>currently using IMSL subroutine RNMVN and would like to know if any other
>similar subroutine is available.  

My 2c worth; only for bivariate normal:

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procedure StdBivNorRand(rho:double; var X1, X2:double);

{Generates X1 and X2 which are a draw from a mean-zero bivariate 
 normal distribution with correlation coefficient rho.

 reference: page 953 of Abramowitch and Stegun}

var 
   U1, U2, tmp1, tmp2 : double;

begin
     U1 := random; U2 := random;
        {warning: generating uniformly distributed random numbers ain't cheap!}
     tmp1 := sqrt(-2.0*ln(U1));
     tmp2 := 2.0*pi*U2; {faster to plug in constant}
     X1 := tmp1*cos(tmp2);
     X2 := tmp1*sin(tmp2);
     {X1 and X2 are now independent, std. normal random numbers.
      That was cheaper than calling RandNorm twice.}
     X2 := (rho*X1) + (X2*sqrt(1.0-(rho*rho)))
     {X1 and X2 are now drawn from the required bivariate normal}
end;

-- 
_______________________________________________________________________________
Ajay Shah, (213)734-3930, ajayshah@usc.edu
                              The more things change, the more they stay insane.
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