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Gaussian (VSL_RNG_METHOD_GAUSSIAN_ICDF)

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 by the inverse transformation method from the following formula:
where
u
is a random number uniformly distributed over the interval (-1, 1), and
erf
-1
(
u
) is inverse to the error function .
The normal distribution with 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