Random number generator of the Gumbel distribution with parameters
β. You can generate any successive random number
xof the Gumbel distribution by the inverse transformation method from the formula
yis a successive random number of an exponential distribution with the parameters
a =0 and
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.