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Gaussian (VSL_RNG_METHOD_GAUSSIAN_BOXMULLER)

Random number generator of normal (Gaussian) distribution with parameters
a
and
s
. You can obtain any successive random number
x
of the standard normal distribution according to the formula
,
where
u
1
,
u
2
are a pair of successive random numbers uniformly distributed over the interval (0, 1). For details, see [Box58].
The normal distribution with the parameters
a
and
s
is transformed to the random number
y
by scaling and the shift
y = sx+a
.

Product and Performance Information

1

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Notice revision #20110804