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 u1, u2 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.
See Intel® MKL Vector Statistics Random Number Generator Performance Data for test results summary.