Gamma Distribution in Boost

Question

Hello,

I'm trying to use the Gamma distribution from boost::math but it looks like it isn't possible to use it with boost::variate_generator. Could someone confirm that? Or is there a way to use it.

I discovered that there is a boost::gamma_distribution undocumented that could probably be used too but it only allows to choose the alpha parameter from the distribution and not the beta.

Thanks!

Answer 1

As mentioned in this link, you can extend Boost's (or TR1's) one-parameter gamma distribution simply by multiplying the output of the rng by your desired scale.

Below is sample code that uses variate_generator to draw numbers from a gamma distribution, parameterized by mean and variance:

#include <boost/random.hpp>
#include <boost/random/gamma_distribution.hpp>

double rgamma( double mean, double variance, boost::mt19937& rng ) {
  const double shape = ( mean*mean )/variance;
  double scale = variance/mean;

  boost::gamma_distribution<> gd( shape );
  boost::variate_generator<boost::mt19937&,boost::gamma_distribution<> > var_gamma( rng, gd );

  return scale*var_gamma();
}