Rayleigh (VSL_RNG_METHOD_RAYLEIGH_ICDF/ VSL_RNG_METHOD_RAYLEIGH_ICDF_ACCURATE)

Random number generator of the Rayleigh distribution with the parameters a and β. You can generate any successive random number x of the Rayleigh 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.