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® 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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