Gumbel (VSL_RNG_METHOD_GUMBEL_ICDF)

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