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.