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Generation of Gaussian distributed random numbers by using a numerical inversion method

✍ Scribed by Raúl Toral; Amitabha Chakrabarti

Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
649 KB
Volume
74
Category
Article
ISSN
0010-4655

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✦ Synopsis

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) method of adding 12 random numbers uniformly distributed in the interval (-0.5, 0.5) (we will call this method the G12, generator), and the ratio

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