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?
(Moved from comment.)
Did you look at Boost.Math.StatisticalDistributions? Specifically, its Discrete Probability Distributions?
Boost is not a library, it's a collection of libraries, so it can sometimes be difficult to find exactly what you're looking for – but that doesn't mean it isn't there. ;-]