random numbers from arbitrary probability distribution functions

randarbmulti.m

function f = randarbmulti(x,y,N)
% RANDARBMULTI generates N random numbers from an arbitrary PDF, defined by
% vectors x and y.  Modified from randarb.m (Dave Dykes) at:
% http://www.mathworks.com/matlabcentral/fileexchange/6506-obs-from-arbitrary-pdf
%
% (c) Jack Peterson (jack@tinybike.net), 4/21/2013

cdf_y = cumsum(y);
sum_y = sum(y);

f = zeros(N,1);

for j = 1:N
    
    % Compute a uniform random number between 0 and sum(y)
    randx = sum_y*rand();
    
    % Find where the number lies on a conceptual line comprised of "segments" of
    % length y
    i = 1;
    while cdf_y(i) < randx
        i = i + 1;
    end
    
    % Return the x value corresponding to the y value we "landed on."
    f(j) = x(i);
    
end