UNU.RAN (Universal Non-Uniform RAndom Number generator) is a collection of
algorithms for generating non-uniform pseudorandom variates as a library of C
functions designed and implemented by the ARVAG (Automatic Random VAriate
Generation) project group in Vienna, and released under the GNU Public License
(GPL). It is especially designed for situations where:

- a non-standard distribution or a truncated distribution is needed;
- experiments with different types of distributions are made;
- random variates for variance reduction techniques are used; or
- fast generators of predictable quality are necessary.

UNU.RAN provides generators that are superior in many aspects to those found in
quite a number of other libraries; however, due to its more sophisticated
programming interface, it might not be as easy to use.

It uses an object-oriented interface in which distributions and generators are
treated as independent objects, so that different methods for generating
non-uniform random variates may be chosen according to various criteria, such
as speed, quality, and variance reduction. It is flexible enough to permit
sampling from non-standard distributions, such as distributions that arise in
a model and can only be computed in complicated subroutines.

WWW: http://statmath.wu-wien.ac.at/unuran/