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.

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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