Cauchy (VSL_RNG_METHOD_CAUCHY_ICDF)

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

where u is a successive random number of a uniform distribution over the interval (-p/2, p/2).

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