Developer Reference

  • 2020.2
  • 07/15/2020
  • Public Content
Contents

vRngGaussian

Generates normally distributed random numbers.

Syntax

status
=
vsrnggaussian
(
method
,
stream
,
n
,
r
,
a
,
sigma
)
status
=
vdrnggaussian
(
method
,
stream
,
n
,
r
,
a
,
sigma
)
Include Files
  • mkl.fi
    ,
    mkl_vsl.f90
Description
The
vRngGaussian
function generates random numbers with normal (Gaussian) distribution with mean value
a
and standard deviation
σ
, where
a
,
σ
R
;
σ
> 0.
The probability density function is given by:
Equation
The cumulative distribution function is as follows:
Equation
The cumulative distribution function
F
a
,
σ
(
x
)
can be expressed in terms of standard normal distribution
Φ
(
x
)
as
F
a
,
σ
(
x
) =
Φ
((
x
-
a
)/
σ
)
Optimization Notice
Intel's compilers may or may not optimize to the same degree for non-Intel microprocessors for optimizations that are not unique to Intel microprocessors. These optimizations include SSE2, SSE3, and SSSE3 instruction sets and other optimizations. Intel does not guarantee the availability, functionality, or effectiveness of any optimization on microprocessors not manufactured by Intel. Microprocessor-dependent optimizations in this product are intended for use with Intel microprocessors. Certain optimizations not specific to Intel microarchitecture are reserved for Intel microprocessors. Please refer to the applicable product User and Reference Guides for more information regarding the specific instruction sets covered by this notice.
Notice revision #20110804
This notice covers the following instruction sets: SSE2, SSE4.2, AVX2, AVX-512.
Input Parameters
Name
Type
Description
method
INTEGER, INTENT(IN)
Generation method. The specific values are as follows:
VSL_RNG_METHOD_GAUSSIAN_BOXMULLER
VSL_RNG_METHOD_GAUSSIAN_BOXMULLER2
VSL_RNG_METHOD_GAUSSIAN_ICDF
See brief description of the methods
BOXMULLER
,
BOXMULLER2
, and
ICDF
in Table
"Values of
<
method
>
in
method
parameter"
stream
TYPE (VSL_STREAM_STATE), INTENT(IN)
Descriptor of the stream state structure
n
INTEGER, INTENT(IN)
Number of random values to be generated.
a
DOUBLE PRECISION
for
vdrnggaussian
REAL (KIND=4), INTENT(IN)
for
vsrnggaussian
REAL (KIND=8), INTENT(IN)
for
vdrnggaussian
Mean value
a
.
sigma
DOUBLE PRECISION
for
vdrnggaussian
REAL (KIND=4), INTENT(IN)
for
vsrnggaussian
REAL (KIND=8), INTENT(IN)
for
vdrnggaussian
Standard deviation
σ
.
Output Parameters
Name
Type
Description
r
DOUBLE PRECISION
for
vdrnggaussian
REAL