libranlip is a C++ library created by G. Beliakov, which generates random
variates with arbitrary Lipschitz-continuous densities via the acceptance /
rejection method. The density should have a dimension of no more than about
five. The user needs to supply the density function using a simple syntax, and
then call the methods of construction and generation provided in libranlip.

WWW: http://www.deakin.edu.au/~gleb/ranlip.html