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A method of computer generation of correlated Gaussian pseudo-random numbers

✍ Scribed by L.I. Mirkin; M.A. Rabinovich; L.P. Yaroslavskii

Publisher
Elsevier Science
Year
1972
Weight
346 KB
Volume
12
Category
Article
ISSN
0041-5553

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✍ RaΓΊl Toral; Amitabha Chakrabarti πŸ“‚ Article πŸ“… 1993 πŸ› Elsevier Science 🌐 English βš– 649 KB

We describe a vectorizable implementation of a numerical inversion method to generate approximately Gaussian distributed random numbers. This method is, on the CRAY-YMP computer, several times faster than the standard Box-Muller-Wiener algorithm. The validity of the approximation is discussed. (1)