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IMSL_RAND_GEN_CONT

IMSL_RAND_GEN_CONT

IMSL_RAND_GEN_CONT

The IMSL_RAND_GEN_CONT function generates pseudorandom numbers from a general continuous distribution.

Routine IMSL_RAND_GEN_CONT generates pseudorandom numbers from a continuous distribution using the inverse CDF technique, by interpolation of points of the distribution function given in table, which is set up by IMSL_CONT_TABLE. A strictly monotone increasing distribution function is assumed. The interpolation is by an algorithm attributable to Akima (1970), using piecewise cubics. The use of this technique for generation of random numbers is due to Guerra, Tapia, and Thompson (1976), who give a description of the algorithm and accuracy comparisons between this method and linear interpolation. The relative errors using the Akima interpolation are generally considered very good.



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