Hello,
R has the package ‘Runuran’, a wrapper of the UNU.RAN library. It allows to simulate a distribution given its unnormalized density, possibly a multivariate distribution.
Is there a package for Julia which allows such a thing?
It would be to have a ‘Junuran’ package for Julia, by the way.
Cheers.
You could look at Distributions.jl to see if that is what you want. Sampling is easy, multimodal distributions exist, as well as distribution fitting and a DiscreteNonParametric distribution, too. If that isn’t sufficient, then you could check out EmpiricalDistributions.jl
There’s no Julia UNU.RAN wrapper as far as I know, but if you think this library does something better than the existing ones, feel free to call that out 
I’m trying 
So far I have successfully generate a UNU.RAN normal sample from Julia 