Sampling from a discrete probability distribution in C++

Question

I am new to C++ and extremely surprised by the lack of accessible, common probability manipulation tools (i.e. the lack of things in Boost and the standard library). I've done a lot of scientific programming in other languages, but the standard and/or ubiquitious third party add-ons always include a full range of probability tools. A friend billed up Boost to be the equivalent ubiquitous add-on for C++, but as I read the Boost documentation, even it seems to have a dearth of what I would consider extremely elementary built-ins.

I cannot find a built in that takes some sort of array of discrete probabilities and produces an index chosen according to those probabilities. I can of course write my own function for this, but I just wanted to check whether I am missing a standard way to do this.

Having to write my own functions at such a low-level is a bad thing, I feel, but I am writing a new simulation module for a larger project that is all in C++. My usual go-to tactic would be to write it in Python and link the Python to the C++, but because several other people are going to have to manage this code once I finish it, and none of them know Python, I think it would be more prudent to deliver it to them all in C++.

More generally, what do people do in C++ for things like sampling from standard distributions, in particular something as basic as a multi-variate normal distribution?

Answer 1

Perhaps I'm misunderstanding your intention, but it seems to me what you want is simply std::discrete_distribution.