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A fast normal random number generator (1992)
| Venue: | ACM Trans. Math. Software |
| Citations: | 29 - 0 self |
BibTeX
@ARTICLE{Leva92afast,
author = {Joseph L. Leva and Mitre Corporation},
title = {A fast normal random number generator},
journal = {ACM Trans. Math. Software},
year = {1992},
pages = {449--453}
}
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Abstract
A method is presented for generating pseudorandom numbers with a normal distribution. The technique uses the ratio of umform deviates method discovered by Kinderman and Monahan with an improved set of bounding curves. An optimized quadratic fit reduces the expected number of logarithm evaluations to 0.012 per normal deviate. The method gives a theoretically correct distribution and can be implemented in 15 lines of FORTRAN. Timing and source size comparisons are made with other methods for generating normal deviates. The proposed algorithm compares favorably with some of the better algorithms.
