Exponential (VSL_RNG_METHOD_EXPONENTIAL_ICDF/ VSL_RNG_METHOD_EXPONENTIAL_ICDF_ACCURATE)

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

where u is a successive random number of a uniform distribution over the interval (0, 1).

See http://software.intel.com/sites/products/documentation/doclib/mkl/vs/vs_performance_data.htm for test results summary.