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

where u1, u2 is a pair of successive random numbers of a uniform distribution over the interval (0, 1).

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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