Rcpp-based Truncated Normal RNG
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README.md

RcppTN

Rcpp-based Truncated Normal RNG by Jonathan Olmsted (jpolmsted@gmail.com)

This package provides functions for generating random numbers from a Truncated Normal distribution with integration to R's usual RNG seed. Functions can be called at either the R or C++ level (with similar structures).

In addition to RNG, functions to calculate the density, moments of the distribution, and the entropy are also provided.

The goal of this package is to provide consistent and straightforward functions for working with Truncated Normal distributions for users in R-land and C++-land.

Installation

Using install_github() from the devtools package will install this for you. Alternatively, you could clone this repository and build/install with the Makefile that is included.

library(devtools)
install_github(repo = "RcppTN",
               username = "olmjo",
               ref = "development"
               )

Example Usage

This is taken from the documentation on the main function provided in RcppTN, rtn().

library(RcppTN)
set.seed(1)
rtn(0, 1, -Inf, Inf) ## for a single draw from a single distribution

rtn(rep(0, 3),
    rep(1, 3),
    rep(-Inf, 3),
    rep(Inf, 3)
    ) ## for multiple draws from a single distribution

rtn(c(0, 0),
    c(1, 1),
    c(-Inf, 5),
    c(1, Inf)
    ) ## multiple draws, each from a different distribution

Functions for calculating moments are also available.

The R package also provides a C++--level API for reproducible RNG (and moment calculation) from a truncated normal distribution.

More Information

Detailed information on usage (at the R-level and C++-level) and on performance can be found in the vignettes.

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