Gamma distributed random variables in C++

Question

What is the easiest way to get a gamma distributed random variable in C++? Boost seems to have this functionality, but it is not clear for me how to use it.

Fellah

Answer 1

It’s pretty straightforward:

boost::mt19937 rng;
boost::gamma_distribution<> pdf(alpha);
boost::variate_generator<boost::mt19937&, boost::gamma_distribution<> >
    generator(rng, pdf);

Constructs a random number generator and a gamma distribution and glues them together into a usable generator. Now you can create random numbers by invoking the generator.

Arawn

@stonybrooknick Unfortunately, Boost doesn’t seem to have it but it shouldn’t be too hard to implement once you look at how the other distributions are implemented and how the PDF is defined. – Arawn

@stonybrooknick: By "beta" you either mean a scale parameter or a rate parameter. In the first case multiply the variates by beta, otherwise divide them. – Hassler

Answer 2

Here is how you do it in C++11:

#include <random>
#include <iostream>

int main()
{
    typedef std::mt19937 G;
    typedef std::gamma_distribution<> D;
    G g;  // seed if you want with integral argument
    double k = .5;      // http://en.wikipedia.org/wiki/Gamma_distribution
    double theta = 2.0;
    D d(k, theta);
    std::cout << d(g) << '\n';
}

Your compiler may or may not yet support <random>. Boost random has just recently been modified to conform to the std::syntax, but I'm not sure if that modification has actually been released yet (or is still just on the boost trunk).

Kistler

Answer 3

Looks like Gamma Distribution in Boost has some code that will do what you want. The bit you're probably missing is boost::variate_generator.

Sharronsharyl