A combinatorial method for the generation of normally distributed random numbers

Ulrich Dieter, Joachim Ahrens

Research output: Contribution to journalArticlepeer-review

Abstract

The proposed method generates standard normal variables x. In 84.27% of all cases sampling from the centre {Mathematical expression} of the normal distribution is carried out using a variant of J. v. Neumann's algorithm for the generation of exponentially distributed random numbers. For sampling from the tails {Mathematical expression} the same method by J. v. Neumann is combined with an acceptance-rejection approach of G. Marsaglia.
Original languageEnglish
Pages (from-to)137-146
JournalComputing <Wien>
Volume11
Issue number2
DOIs
Publication statusPublished - 1973

Treatment code (Nähere Zuordnung)

  • Basic - Fundamental (Grundlagenforschung)

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  • Random Number Generation

    Dieter, U. & Stadlober, E.

    1/01/9531/12/05

    Project: Research area

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