Option Explicit

Function sbRandCumulative(dMin As Double, dMax As Double, _
    vXi As Variant, vWi As Variant, Optional dRandom = 1#) As Double
'Generates a random number, Cumulative distributed.
'[see Vose: Risk Analysis, 2nd ed., p. 109]
'Source (EN): http://www.sulprobil.com/sbrandcumulative_en/
'Source (DE): http://www.bplumhoff.de/sbrandcumulative_de/
'(C) (P) by Bernd Plumhoff 23-Dec-2020 PB V0.50
'Similar to @RISK's (C) RiskCumulative function.
Static bRandomized As Boolean
Dim i As Long
Dim dA As Double
Dim dRand As Double
Dim dSgn As Double

If vWi.Count <> vXi.Count Then
    sbRandCumulative = CVErr(xlErrValue)
    Exit Function
End If
ReDim dX(0 To vXi.Count + 1) As Double
ReDim dW(0 To vWi.Count + 1) As Double

dX(0) = dMin
dX(UBound(dX)) = dMax
dW(0) = 0#
dW(UBound(dW)) = 1#
For i = 1 To vXi.Count
    dX(i) = vXi(i)
    dW(i) = vWi(i)
    If dW(i) < dW(i - 1) Then
        'Weights need to be monotonously increasing
        sbRandCumulative = CVErr(xlErrValue)
        Exit Function
    End If
Next i
If dW(UBound(dW)) < dW(UBound(dW) - 1) Then
    'Weights need to be monotonously increasing
    sbRandCumulative = CVErr(xlErrValue)
    Exit Function
End If

'Calculate area
dA = 0#
For i = 0 To UBound(dX) - 1
    If dX(i) >= dX(i + 1) Or dW(i) < 0# Then
        sbRandCumulative = CVErr(xlErrValue)
        Exit Function
    End If
    dA = dA + (dX(i + 1) - dX(i)) * (dW(i + 1) + dW(i)) / 2#
Next i

'Normalise weights to set area to 1
For i = 1 To UBound(dW)
    dW(i) = dW(i) / dA
Next i

ReDim dF(0 To UBound(dX)) As Double
'Calculate border points of value ranges for
'cumulative inverse function
dF(0) = 0#
dA = 0#
For i = 0 To UBound(dX) - 1
    dA = dA + (dX(i + 1) - dX(i)) * (dW(i + 1) + dW(i)) / 2#
    dF(i + 1) = dA
Next i

If dRandom = 1# Then
    If Not bRandomized Then
        Randomize
        bRandomized = True
    End If
    dRand = Rnd()
Else
    dRand = dRandom
End If

i = 1
Do While dF(i) <= dRand
    i = i + 1
Loop
dSgn = Sgn(dW(i) - dW(i - 1))
If dSgn = 0# Then
    sbRandCumulative = dX(i - 1) + (dRand - dF(i - 1)) / _
                   (dF(i) - dF(i - 1)) * (dX(i) - dX(i - 1))
Else
    sbRandCumulative = dX(i - 1) + _
                   dSgn * Sqr((dRand - dF(i - 1)) * _
                   2# * (dX(i) - dX(i - 1)) / (dW(i) - dW(i - 1)) + _
                   (dW(i - 1) * (dX(i) - dX(i - 1)) / _
                   (dW(i) - dW(i - 1))) ^ 2#) - _
                   dW(i - 1) * (dX(i) - dX(i - 1)) / (dW(i) - dW(i - 1))
End If

End Function