Gumbel (VSL_RNG_METHOD_GUMBEL_ICDF)
Random number generator of the Gumbel distribution with parameters
a
and β
. You can generate any successive random number x
of the Gumbel distribution by the inverse transformation method from the formula
where
y
is a successive random number of an exponential distribution with the parameters a =
0 and β =
0.The random numbers of the exponential distribution are generated using method VSL_RNG_METHOD_EXPONENTIAL_ICDF.
See Intel® oneAPI Math Kernel Library Vector Statistics Random Number Generator Performance Data for test results summary.