Cauchy (VSL_RNG_METHOD_CAUCHY_ICDF)

Random number generator of the Cauchy distribution with parameters a and β. You can generate any successive random number x of the Cauchy distribution by the inverse transformation method from the formula

where u is a successive random number of a uniform distribution over the interval (-p/2, p/2).

See Intel® MKL Vector Statistics Random Number Generator Performance Data for test results summary.

For more complete information about compiler optimizations, see our Optimization Notice.
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